Fresh mail in Tibra / Optiver case

5 Jul 2012

Short post, can’t do it much better than the Sydney Morning Herald today. Some mails surfaced from the period the Tibra founders were still working for Optiver. Finally, the password has been broken. ”Ok Cats, We are 6 weeks out and under the pump. Here is the timeline we are working off.

Source

Optiver profit 256 million

In the mean time Optiver has been doing very well last year. Pre-tax profit 256 million, up 110 million from 2010. Company warns of a though 2012. A little old news, but haven’t got the hold of a copy of their anual report just yet. Didn’t make it to Jelle’s most favorite journalist friends. (FT)

IMC fined in Hong Kong

And back to Asia again. Now IMC is about to leave the country to settle everyone down under, the love is finally over. The firm is fined 1.5 million dollar for breaching rules on covered short selling. Read the short message from the Securities and Future Commission.

Update : In Hong Kong people use the Hong Kong dollar to pay. Also to the SFC. In euro’s this fine is around 150k.

566 Responses to Fresh mail in Tibra / Optiver case

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anonymous

July 5th, 2012 at 10:47 am

Optiver V.o.F

Former Auth. Representative: Mr Johann Kaemingk
New Auth. Representatives: Mr Jelle Elzinga
Mr Hans Pieterse

Former Responsible Persons: Mr Jelle Elzinga

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anonymous

July 5th, 2012 at 12:09 pm

If by “the password has been broken”, you actually mean “Tibra parties provided the passphrase of Mr King to Optiver” then I suppose you could say the password has been broken.

Always go to the source. Journalists are hopeless.

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anonymous

July 5th, 2012 at 1:14 pm

“Some mails surfaced from the period the Tibra founders were still working for Optiver” is just wrong. The email was from 18 July 2006. All of the founders had already left Optiver.

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anonymous

July 5th, 2012 at 2:07 pm

“the password has been broken”

Nah. Actually, we finally beat up one of the nerds so bad he wrote down the real key.

“Oops, it was transcribed wrongly?” Not fuckin likely.

Sounds more like a trade.

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anonymous

July 6th, 2012 at 1:19 am

so what did the tibra founders steal from optiver ?

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anonymous

July 6th, 2012 at 2:03 am

the imc fine is tiny. its 1.5m hkd which is only ~150k eur

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anonymous

July 6th, 2012 at 2:38 pm

Jacco

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anonymous

July 6th, 2012 at 10:09 pm

why does the regulator even bother with that fine amount, it’s not a eg, it’s certainly not a detarrant,

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anonymous

July 12th, 2012 at 4:18 pm

The Tibra former employees would have needed to steal quite a lot of code / components / applications to get a working solution to trade.

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anonymous

July 13th, 2012 at 1:00 am

yah that sounds reasonable, does optiver really think what they copied etc was enough substance anyways ?

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anonymous

July 13th, 2012 at 12:11 pm

you do not need to get a working solution to trade, it’s enough to take the key ideas of the algorithm. Optiver will have a tough time to prove that former employees took away a whole working solution.

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anonymous

July 13th, 2012 at 12:45 pm

Too bad tibra never got the hammer tool

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anonymous

July 14th, 2012 at 12:48 am

I think if Tibra had taken a line for line copy of the Optiver system we would have heard about it by now. The case would be open and shut. Ergo, they didn’t take a line for line copy of the Optiver system. Taking an algorithm sounds more like intellectual property. Much harder to prove, especially when everyone in the industry is doing the same thing.

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anonymous

July 14th, 2012 at 10:31 am

yes, it’s going to be impossible for Optiver to prove, even if we all know that those who left Optiver brought with them some secrets, but this is always the case, regardless if they go to TIbra or somewhere else

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anonymous

July 14th, 2012 at 2:34 pm

why doesn’t optiver see this being the case ? Hubris you would think,

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anonymous

July 17th, 2012 at 4:12 pm

Is Tibra a company worth working for? I was just approached, but these revelations are unsettling.

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anonymous

July 17th, 2012 at 5:18 pm

yes it is provided you get a good deal

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anonymous

July 17th, 2012 at 5:39 pm

@ 4:12 pm If you value free lunch, and casual clothes over $, then yes!

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anonymous

July 17th, 2012 at 10:09 pm

“I was just approached, but these revelations are unsettling.”

Read the judgement on the ComCourts website. The article in the herald and Jack’s summary of it are just wrong.

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anonymous

July 18th, 2012 at 2:04 am

approached my ass

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anonymous

July 18th, 2012 at 8:02 am

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anonymous

July 18th, 2012 at 8:03 am

https://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions

It is fairly clear from the pleadings and the issues that have been agitated while I have been managing the proceedings, that Optiver alleges that from about mid-2006 the personal respondents went about a plan to set up the corporate Tibra parties’ businesses. The encrypted emails may or may not contain other material relating to any particular documentation of any such plan. However, the “Things to do” document attached to Mr Berry’s email of 18 July 2006, appears to reveal that some detailed consideration had been given as to how various persons would participate in establishing the new business. It specifically provided for the deletion of, relevantly, emails, sent items, deleted items, Skype chats, files and the like from individuals’ computer hard drives, required them to copy all existing files into new files, and then to wipe clean all the personal hard drives of individual employees including those who are Tibra party respondents.
While the Tibra parties argued that the “Things to do” document’s requirement to copy existing files into new files negated any adverse inferences that might be drawn from any plan to erase the other material, it is not clear that this would necessarily be so. The various individual respondents, other than Mr Bhandari, seem to have arrived at a position by one route or another that they no longer have those items or data in their possession, custody or power. Mr Bhandari, on the other hand, copied all of his material onto the Tibra system, even though the encrypted emails have been completely unreadable until recently, and even now only some have been deciphered.
I am satisfied that Optiver is entitled to explore, in discovery and the preparation of its case, these materials that have only recently become available to be looked at by them, through no fault of their own. They are also entitled to consider the issues that these materials raise.

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anonymous

July 18th, 2012 at 8:06 am

This is an application by Optiver to vacate the orders for the inquiry before the referee that I ordered in Optiver Australia Pty Ltd v Tibra Trading Pty Ltd (No 2) [2012] FCA 559. Subsequently, before the referee had commenced hearing the inquiry, I gave reasons on 14 June 2012 for ordering the Tibra parties to give further discovery: Optiver Australia Pty Ltd v Tibra Trading Pty Ltd (No 3) [2012] FCA 641. Those reasons set out the background facts. Each of the individual Tibra parties and Tibra companies has made a supplementary affidavit of documents as a result of the orders of 14 June 2012. As a result about 1,060 new documents have been discovered, including over 30 emails that had previously been encrypted but have now been able to be read. Of those documents, 170 new encrypted documents have been found since 6 June 2012.
THE NEWLY DISCOVERED MATERIAL

In my earlier reasons, I referred to Mr Bhandari’s evidence of his belief that he had lost the private key to the PGP software when Tibra’s corporate computer system was upgraded in about 2007: [2012] FCA 641 at [15]. Apparently, the Tibra parties found, on the currently used corporate computer system and not on the back-up or archive part of it, one of two private keys that Mr Bhandari used for the PGP software. However, they have not been able to locate, so I have been informed, a passphrase which enables the private key that has been found to operate.
Although Mr Bhandari said in his affidavit of 12 June 2012 that he had provided his passphrase to Tibra’s in-house counsel, I have been told that there is no record of whatever it was that he did provide. At the time he swore this affidavit, Mr Bhandari said that he could not recall his passphrase but that if he had access to his private key he believed he might be able to decrypt his emails by successfully guessing the passphrase from amongst a large number of possible combinations of words and numbers that he typically used. However, as he pointed out, without access to his private key, he would know whether any passphrase would be correct because both of those integers were necessary to enable the encryption to be broken.
Optiver complained that the descriptions in Part 3 of each of the most recent lists of documents by the Tibra parties are ambiguous because they merely refer to the deponents’ earlier affidavits filed for the hearing on 13 and 14 June 2012. While there is some force in that, at the moment there is no application for further and better discovery in respect of those matters.
THE PRESENT APPLICATION

Optiver has applied for the vacation of the order for reference and for further directions to enable the matter to be properly prepared for hearing, having regard to the developments in the last three weeks. Optiver relied on a number of concerns arising from the Tibra parties’ various lists of documents and the recently obtained ability to read some of the previously encrypted emails.
Optiver suggested that it wishes now to pursue a number of steps in the preparation of its case having regard to the new turn of events. First, it seeks to assimilate, understand and then review the fresh documents discovered, including those in the new categories I ordered on 14 June 2012 that related to the “Things To Do” timeline document. It wishes to correlate those with the documents already discovered or available for use in the proceedings. Secondly, Optiver wishes also to assess the whole of the documentary material against affidavits which the Tibra parties and their witnesses had previously prepared or outlines of evidence which may have been provided in consequence of directions I had subsequently given (when I had thought the hearing) that the hearing proceed by way of the lay witnesses giving viva voce evidence in-chief. Thirdly, Optiver seeks to subpoena Google in the United States of America, pursuant to letters of request to be issued by this Court or by their own separate application there, to investigate email accounts kept by Mr King, Mr Berry and possibly also Mr Begg, Mr Williamson, a Campbell Norwood and a Christian King. Optiver also contemplates issuing subpoenas to Microsoft Inc, again, I assume in the United States, for Hotmail accounts held by the individual Tibra parties and possibly Mr Norwood. Optiver contemplates issuing subpoenas to various internet service providers in Australia with respect to the individual Tibra parties’ email accounts now that there is a possibility of decrypting some of the encrypted emails and relating such documentary and other material in the case to the “Things To Do” timeline document.
Part of Optiver’s intended further preparation is to re-evaluate how it had approached the present evidence anticipated to be given by the Tibra parties, either through revisiting their previous affidavits, outlines or other material and comparing the accounts in those to the newly discovered material including, in particular, the consistency of those materials with the chronology anticipated in the “Things To Do” timeline. Optiver argued that there were potential inconsistencies between the affidavit evidence of Mr Berry and Mr King and the newly decrypted email material that it claimed showed they communicated, contrary to Mr Berry’s earlier denials of having done so at some point in time.
THE TIBRA PARTIES’ SUBMISSIONS

The Tibra parties have proposed that the hearing before the referee now commence on 5 July 2012 while, in the interim, Optiver has the opportunity of exploring such matters as it may be able to pursue. They argued that most of the new mechanical discovered for the purposes of order 1 made on 14 June 2012 concerned the machinery steps taken to set up their new business. They contended that this material, as a matter of commonsense, would be of no real significance and would be of the kind that would have been brought into existence in any event regardless of the time line on which Optiver’s submissions are based.
They argue that the reference should not be abandoned at this stage but should be allowed to commence because both sides have prepared for it and are substantively ready to proceed. In addition, the Tibra parties point to the fact that by vacating the order for the reference there will necessarily be a significant prejudice to them. As they say, this matter involves, among other things, their clients’ entire business, their reputations and memories of events that occurred now about six years ago. Further delay, they argue, is not in the interests of justice, particularly where the inquiries that Optiver says it wishes to undertake are, essentially, speculative and may lead nowhere.
The Tibra parties argued that the assertions by Optiver of what could be drawn from the “Things To Do” timeline and what has now come to light were highly unlikely to lead to any forensic change in the shape of the parties’ cases and, more particularly, the outcome. The Tibra parties argued that the loss of, or inability to recall, Mr Bhandari’s passphrase means that it will be a matter of speculation as to whether anything would be turned up in a code-cracking exercise, even with assistance from him as to likely passphrases or passwords that he had in mind or used at the time. They argued that there is little likelihood that a “smoking gun” will be revealed in any of the forensic exercises that Optiver says it wishes to undertake. The Tibra parties contended that to allow the further discovery and subpoena work foreshadowed by Optiver to occur will interrupt the imminent start of the hearing of the reference and the consequential detriment they would suffer would be out of all proportion to the likely forensic benefit to Optiver of the exercise, were it undertaken.
CONSIDERATION

Each of the parties is represented by experienced counsel and solicitors. Each is extremely well resourced. The corporate parties apparently run highly successful businesses. When there is delay the whole quality of justice deteriorates: cf Reg v Lawrance [1982] AC 510 at 517B per Lord Hailsham of St Marylebone LC. The circumstances that have given rise to the present application, however, cannot be laid at the door of Optiver, as I explained in Optiver (No 3) [2012] FCA 641. The revelation that Mr Bhandari’s passphrase is missing has thrown up yet another difficulty in the parties’ paths to decrypt the emails. Arrangements have been made between the parties today for passphrases that Mr Bhandari thinks he used around the time to be provided to Optiver. That will enable its expert to run forensic tests using variations of those passphrases to see whether any of the encrypted emails can be unlocked in combination with one of Mr Bhandari’s private keys that has now been discovered.
The Court and the parties must seek to facilitate the just resolution of disputes, according to law, as quickly, inexpensively and efficiently as possible pursuant to the overarching purpose set out in s 37M of the Federal Court of Australia Act 1976 (Cth). Nonetheless, at the heart of the exercise of judicial power lies the consideration of the interests of justice. In an application such as the present, a balancing exercise has to be undertaken on imperfect materials and incomplete information. In Aon Risk Services Australia Ltd v Australian National University [2009] HCA 27; (2009) 239 CLR 175, Gummow, Hayne, Crennan, Kiefel and Bell JJ discussed considerations that were applicable to an analogue of s 37M with respect to an amendment application that had occasioned the vacation of a hearing date. Their Honours said (239 CLR at 212 [94]):
“Where a party had had a sufficient opportunity to plead his or her case, it may be necessary for the court to make a decision which may produce a sense of injustice in that party, for the sake of doing justice to the opponent and to other litigants.”

They noted that a just resolution of the proceedings remained the paramount purpose of provisions such as s 37M. However, they had said that the concept of a just resolution had to be understood in light of the purposes and objectives of the applicable legislative purpose. Here, that is stated in s 37M and includes having regard to speed and efficiency, in the sense of a minimum of delay and expense, as being essential components of a just resolution. Their Honours pointed out that it could not be said that a just resolution requires that a party be permitted to raise any arguable case at any point in the proceedings on payment of costs (see 239 CLR at 213 [98]). Critically their Honours said (239 CLR at 214-215 [102]):
“It is the extent of the delay and the costs associated with it, together with the prejudice which might reasonably be assumed to follow and that which is shown, which are to be weighed against the grant of permission to a party to alter its case. Much may depend upon the point the litigation has reached relative to a trial when the application to amend is made. There may be cases where it may properly be concluded that a party has had sufficient opportunity to plead their case and that it is too late for a further amendment, having regard to the other party and other litigants awaiting trial dates. Rule 21 makes it plain that the extent and the effect of delay and costs are to be regarded as important considerations in the exercise of the court’s discretion.” (emphasis added)

It will not be contrary to the decision in Aon [2009] HCA 27; 239 CLR 175 or anything in Pt VB of the Federal Court of Australia Act for a judge to give significant weight to the consideration of the achievement of justice in the particular case: Cement Australia Pty Limited v Australian Competition and Consumer Commission [2010] FCAFC 101; (2010) 187 FCR 261 at 274-275 [45] per Keane CJ, Gilmour and Logan JJ. Their Honours pointed out that nothing in the High Court’s reasons suggested that the latter consideration was not relevant to the exercise of discretion to permit or refuse an amendment. Rather, they held that the principle in Aon [2009] HCA 27; 239 CLR 175 was that the consideration of the achievement of justice in the particular case must not be allowed to trump other relevant considerations, including those such as are referred to in ss 37M and 37N. They made the point that Aon was not a “one size fits all” case and that, at the end of the day, the Court must weigh all the relevant factors, and that these may vary depending on the facts of the case.
When I ordered that these proceedings be referred to a referee I was mindful that they had been fixed for nearly a year to be heard and determined in an eight week agreed timeframe commencing on 4 June 2012. I found that the proceedings were likely to take significantly longer than that timeframe and the parties were not able to guarantee that it would finish within it. I had regard, among other reasons, to the facts that there would be a somewhat indeterminate length to the hearing, the serious allegations of, in substance, fraudulent conduct which Optiver made against the Tibra parties, the highly complex and detailed expert evidence, and the undesirability of splitting the hearing of the trial once that hearing had commenced. Since both parties wanted the proceedings heard sooner rather than later, I took the course of ordering that the proceedings be referred to the Honourable Kevin Lindgren QC as a referee.
The situation has now developed that documents that were apparently relevant and had been discovered, but were unreadable, have now become readable. As I found in my reasons of 14 June, the Tibra parties had undertaken their discovery on the basis of a misconception. Indeed, the further discovery I ordered has revealed that Mr Bhandari’s private key for the PGP software was, in fact, located on the Tibra companies’ computer system, but had not been found earlier. There is no affidavit evidence explaining any of the difficulties that have been encountered in relation to Mr Bhandari’s ability to access or otherwise use the PGP software since he made his affidavit of 12 June 2012.
Optiver says, through its counsel, that it needs to reassess the discovered material and to compare it against what is available as evidence likely to be deployed in the hearing as well as considering documents that have already been discovered and matters arising from them. It wishes to undertake further exploration of that material. Critical to its case is the fact that, as appears to be common ground, in the period ending on 4 September 2006, a significant amount of primary material held by each of the individual Tibra parties and the Tibra companies was wiped from, or no longer exists on their private computers on which the individual Tibra parties worked. The individual Tibra parties have given differing dates as to when each of them ceased to hold the documentary material on his laptop or personal computer. Mr Bhandari transferred all of his material onto the Tibra computer system. The parties, and in particular Optiver, have now the ability to consider, at least in part, some of the encrypted material that was previously inaccessible. This has potential significance to the overall conduct of the proceedings particularly having regard to the contents of the “Things to Do” timeline document.
These matters suggest that the orderly and proper preparation of the case for trial requires that Optiver have the opportunity to further assess and explore other evidentiary paths that have now been opened up by the new material that has come to light. This is a highly complicated case involving a vast amount of analytical material concerning computer software and the like. But, as Optiver argued, one of the significant features, not usually found in litigation, is that the party alleged to be copying or misusing confidential information does not now have a significant amount of material contemporaneous with the period prior to 4 September 2006 when much of that activity is alleged to have occurred.
In order to be able to cross-examine witnesses as to credit, it is often the case that contemporaneous documents enable a picture to be painted. That picture can be very different from a witness’ honest recollection or, in other cases, an asserted recollection that is less transparent or well motivated. Through no fault of Optiver’s, this new ability to access the encrypted material has come at a very late stage. I am not satisfied that it is likely that Optiver will be able to undertake or complete investigations that it, bona fide wishes to undertake and which, on the material before me, appear to be reasonable for it now to undertake.
There is no evidence of what Mr Bhandari has now done to check for and seek to use one or both of his private keys and establish, through his own recollection or experimentation, whether any passphrase that he thinks might be applicable would open the encrypted material. It may be that at the end of the day, no one will be able to do so with all the best will and effort in the world. Nonetheless, the various accounts given by the individual Tibra parties as to the apparent lack of significance of the “Things to Do” timeline or any similar plan raises the need, I think, for Optiver to be given the opportunity to test that material forensically by pursuing a reasonable course of investigation in the orderly preparation of its case for hearing. I think the inevitable consequence of the view that I have formed must be that the hearing cannot be forced on in accordance with the previous orders or sensibly commence on 5 July 2012.
The individual Tibra parties’ credibility is a central issue relevant to the outcome of the proceedings. They deny that they are guilty of the very serious matters that Optiver alleges against them. The inability of Optiver to have available contemporaneous documents to which the individual Tibra parties were themselves party, until the opening of the encrypted documents would have been a matter of some significance in Optiver’s ability to test its opponents’ evidence before any tribunal of fact. Obviously, I have no view one way or the other as to which side in this debate will ultimately succeed or has a stronger case. My concern is to ensure that, as the events have now unfolded, justice is done to both sides. In doing so, I recognise that vacating the hearing date will inevitably cause prejudice to the Tibra parties, some of which may be irremediable.
At the moment, I do not think that it is possible to assess whether one or other side should be responsible for the costs of the vacation of the hearing date because, as the Tibra parties argued, to some degree, there must be a degree of speculation and whether the opportunity afforded Optiver by this course will yield any substantive benefit. Optiver has asked for it and the state of the evidence suggests to me that it is entitled to have such an opportunity to explore and investigate what flows from this material. The very high level forensic arguments deployed by each of the parties before me as to the strengths and weaknesses of the other’s case may or may not hit home at the end of the proceedings. It will be easier, then, to judge whether this adjournment was or was not justified in all of the circumstances. It would not be desirable, in effect, to tie the referee up on an indefinite basis to a reference that may or may not be ready to proceed at a later stage when the opportunity I propose to give to Optiver to pursue its enquiries further is completed. It is not yet feasible to know when a hearing date should be set. Accordingly, I should also vacate the order for reference.
Optiver accepts that it may later be appropriate to make a further order for reference, as indeed Tibra urges. One consideration in relation to that is that a referee may be even more readily available to hear an open ended, in terms of length, trial of the issues that must be heard pursuant to the orders for a separate hearing than a judge, depending on when the parties assess the case is ready to be fixed for hearing. I will order that orders 1, 2 and 3 made on 28 May 2012 be vacated.

I certify that the preceding twenty-three (23) numbered paragraphs are a true copy of the Reasons for Judgment herein of the Honourable Justice Rares.

Associate:

Dated: 10 July 2012

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anonymous

July 18th, 2012 at 9:06 am

‘I was just approached, but these revelations are unsettling.’

what’s the position they are looking to offer and what’s the package they are putting forward?

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anonymous

July 18th, 2012 at 9:10 am

‘The article in the herald and Jack’s summary of it are just wrong.’

do you have the link for the article in Herald, which part of Jack’s summary is just wrong ?

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anonymous

July 18th, 2012 at 9:29 am

‘Mr Bhandari said that he could not recall his passphrase but that if he had access to his private key he believed he might be able to decrypt his emails by successfully guessing the passphrase from amongst a large number of possible combinations of words and numbers that he typically used. However, as he pointed out, without access to his private key, he would know whether any passphrase would be correct because both of those integers were necessary to enable the encryption to be broken.’

sounds like Bhandari actually wants to share encrypted material so that he can prove his innocence ?

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anonymous

July 18th, 2012 at 10:58 am

“sounds like Bhandari actually wants to share encrypted material so that he can prove his innocence ?”

Yes. The topic of encrypted emails sounds more interesting in the media than it is in the actual case. Bhandari and King have both handed over their keys and passwords and they have been able to decrypt quite a few of the emails.

Reading between the lines of the judgement, it is clear that none of the decrypted emails talk about copying of source code. Optiver appear to be grasping at straws.

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anonymous

July 18th, 2012 at 9:53 pm

‘Optiver seeks to subpoena Google in the United States of America, pursuant to letters of request to be issued by this Court or by their own separate application there, to investigate email accounts kept by Mr King, Mr Berry and possibly also Mr Begg, Mr Williamson, a Campbell Norwood and a Christian King. Optiver also contemplates issuing subpoenas to Microsoft Inc, again, I assume in the United States, for Hotmail accounts held by the individual Tibra parties and possibly Mr Norwood. Optiver contemplates issuing subpoenas to various internet service providers in Australia with respect to the individual Tibra parties’ email accounts now that there is a possibility of decrypting some of the encrypted emails and relating such documentary and other material in the case to the “Things To Do” timeline document.’

Who in Optiver is signing off on all this wasteful legal investigation, how much cash have they invested in this and what is likely returns ?

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anonymous

July 19th, 2012 at 1:56 am

“Who in Optiver is signing off on all this wasteful legal investigation, how much cash have they invested in this and what is likely returns ?”

That’s a question that management really need to ask themselves. The likelihood of getting any information out of Google or Microsoft is precisely zero. KWM are dragging this out for as long as possible purely to keep the fees coming in.

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anonymous

July 19th, 2012 at 2:09 am

We’re just too smart, they cannot prove a thing. Thanks for the money, sportiver

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anonymous

July 20th, 2012 at 12:24 am

http://www.ritholtz.com/blog/2012/07/are-big-banks-criminal-enterprises/

as far as I am concerned – so are algo traders (crminal enterprises); so its a cultural thing you steal from the markets; and steal from each other (alledgedly) so its not suprising. Again no different to a hoody during the london riots looting a store. You are looting the market and from people invested in that market through superannuation funds etc that actually work hard for a living. Where is the good or service created for the productive economy. There is no value in ths type of liquidity. Karma is a bitch – seen the latest batman movie and court; death or exile!!!

Only downside I can see is another leach from society (lawyers) is sucking you both dry.

wake up use your intelligence and computer smarts for something constructive; at least then you will be able to tell your grand-kids and kids you did something worthwhile

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anonymous

July 20th, 2012 at 3:02 am

yes i did something really constructive this year, make millions off morons like you, now i am going to invest with up and coming geniuses of the world, the next zuckerbergs, larry page et al, good karma ? to shift capital away from morons and invest with smart people,

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anonymous

July 20th, 2012 at 9:51 am

@12.24 go troll somewhere else

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anonymous

July 20th, 2012 at 12:06 pm

I aint trolling; I am seeking a justification of your industry and all I got from you was attitude. Its my view and according to the link to Ritholz its not just mine. There is a bigger perspective here. But @ 3:02 typical attitude right there – everyone that doesnt makes millions of money is a “moron.” If thats your benchmark as to how you measure yourself I am truly sad for you. I will give you the big tip – the money you make after the first million isnt the measure of a person – its what you do with it and how you made it that counts. But hey I will give you the benefit of the doubt and at least entertain the prospect that now that you have symphoned off x dollars in a parasitic fashion that you have seen how hollow that achievement really is. Now your intention is to invest that money in a productive enterprise??

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anonymous

July 20th, 2012 at 5:08 pm

The reason I called it trolling is that your comments don’t come across as a start of a dialogue, they come across as being intended to piss people off. Therefore you should be surprised to get reactions like 3.02.
If you seek a justification of the industry, you shouldn’t just post that HFT firms are stealing and looting. Insofar I can judge your only argument seems to be that they make money, therefore others lost that money, and they must have stolen it.
According to that argument Apple must be stealing as well, they also make money over the backs of hardworking people.
Considering the low spreads in the market nowadays are for a good part the result of HFT, idem dito the low brokerage fees, and I’d conclude that they have helped the average joe in the market by lowering his transaction costs. Your argument seems to be that average joe could do without them. That’s like saying we can do without supermarkets. Sure, we could, but having to go to 10 different farms and 20 different producers of goods to get our groceries wouldn’t be very efficient. The supermarket dramatically lowers transaction costs (and makes money in the process).
You might not agree, that’s fine. I doubt though you trade much yourself (or never traded in the days before electronic trading), otherwise you would recognize some of the benefits HFT brings.

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anonymous

July 20th, 2012 at 5:09 pm

“Therefore you should be surprised to get reactions like 3.02.”
should of course be
“Therefore you shouldn’t be surprised to get reactions like 3.02.”

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anonymous

July 20th, 2012 at 11:52 pm

@5:08

Apple makes a prduct people chose to buy at a price they are willing to pay for – its marked with a sticker on the front.

If investors are investing for a mid to long term as opposed to speculating HFT are just middleman. i.e productive investment in a productive economic system where capital finds productive enterprises producing an income stream over a duration – if I am an investor (not a speculator relying on capital gain) therefore there is no benefit because I will buy that share either tommorow, next week or even next month at the desired price because I want it for its fundementals – therefore HFT is just part of a parasitic system symphoning off money for a very few; speeding it up for the sake of speeding it up. Do I need to mention May 6 flash crash. My view from a whole of economic system view is that it is looting and has other inherent risks. Real money for real labour, risk and innovation.

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anonymous

July 21st, 2012 at 12:23 am

Also btw – i think HFT does have a role but he value you are talking about isnt there anymore; for the investor (as aopposed to a speculator) a millesecond here or there is irrevelant. Even though government should get out of the way a transaction tax on every transaction HFT make would be ideal. By regulating “creative destruction” would play a role here as I think HFT has reached its limits of value. Then HFT firms would truly have to be “creative” and would have to go back to actually investing in the productive economy rather than syphoning and looting.

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anonymous

July 21st, 2012 at 2:12 am

‘I am seeking a justification of your industry and all I got from you was attitude.’

i just gave you justification, taking money from morons like you and getting in hand of genuises, as a broker of capital i should make few percentage points of the GDP, 40% of S&P’s earnings coming from financials in 2007 was neither justified nor sustainable, happy now ?

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anonymous

July 21st, 2012 at 2:14 am

‘But @ 3:02 typical attitude right there – everyone that doesnt makes millions of money is a “moron.” ‘

you are a moron, go read my comment carefully, if i’m making money off you, that means you are loosing it, why, yes you can guess, because you are a moron,

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anonymous

July 21st, 2012 at 2:16 am

‘Now your intention is to invest that money in a productive enterprise??’

or buy a ferrari, it don’t matter, atleast the capital is out of hand of a moron like you, the job is half done,

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anonymous

July 21st, 2012 at 2:20 am

‘My view from a whole of economic system view is that it is looting and has other inherent risks.’

you mean to say financial system rather than economic system, you know if weren’t that big of dud, you would have realised by now to say away from financial markets, bonds, etfs, shares, funds etc, they are all rigged against you, much like a giant casino,

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anonymous

July 21st, 2012 at 7:53 am

I think I was correct – not even offended that you call me a moron over and over again – it just further demonstrates your view of what equates to intelligence and status is directly linked to money. As I suspected if that is your one and only barometer that you measure youself (which is a narrow one) by I just hope you have some alternative skill sets to rely on if 2008 occurs again but this time in greater severity and without the government bailout options of keeping the system afloat that you so depend on.

If there is a loss of faith in the system and loss of faith is growing day by day by normal people that you call morons like me at the shallowness and corrupt nature that you make money that is less money for you to syphon off. Think the 99% movement. You think that the spreads and volume are narrowing because of competition. Thats only one factor champ. The normal everyday people that actually produce a good or service are becoming self aware and withdrawing their money from the system gradually. And yes you are correct I dont have my money in any investment vehicle that has a counter-party. So I aint losing money to you. I consider myself self aware. Think Libor, JP Morgan, May 6 and HSBC.

And beacuse I am moron as you say I am bit more creative then you which at the end of the day all you do is arbitrage – congratualtions how innnovative and smart you must be for exploiting that opportunity.

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anonymous

July 21st, 2012 at 8:03 am

http://maxkeiser.com/tag/hft/

Some good stuff here champ

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anonymous

July 21st, 2012 at 11:26 am

@11.52

“Apple makes a prduct people chose to buy at a price they are willing to pay for”
How’s that different from the stock market? You put in a buy order with a limit price, and that’ll be the max you’ll have to pay for it. If you don’t want something, you don’t have to buy it.

You might be willing to wait until tomorrow or next week to get a fill on your orders, others are not. If you are willing to wait, you put in your order and wait. If you don’t want to wait, you can trade against the orders in the market at that moment, which might be from HFT firms. You seem to say that anyone who wants to trade immediately instead of waiting is part of a parasitic system. Don’t forget that even when you put in an order and wait for execution there still needs to be someone that wants to trade immediately in order to get an execution. If everyone would put in bids below the offer and offers above the bid no trades would ever take place… And those people that want to trade immediately might get better prices with HFT firms around.
Just because something doesn’t have value to you doesn’t mean it has value for no one.

As for the flash crash: that’s something that could have easily prevented by a better designed system. A flash crash like in the US wouldn’t happen in Europe, simply because European exchanges have proper circuit breakers (if a stock goes down x%, trading is temporarily stopped). See it as a road where you can safely drive 30 km/h: most people will obey the rules, but there will always be someone who doesn’t stick to the rules. Europe has speed humps, the US didn’t. What you seem to propose is banning all cars with top speeds above 30 km/h, but it would be more sensible to put in a few speed humps.

Transaction taxes are idiotic. They will indeed limit HFT, but they will also dramatically increase the transaction costs for everyone else (not just the tax, but also the wider markets that result are a cost). It’s throwing out the baby with the badwater.

Using rhetoric like looting and stealing only helps in getting reactions from people like 2:12. He’s probably a junior trader who’s still waiting for his first bonus but already has a boner for things he expects to come, and still you take him seriously.

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anonymous

July 21st, 2012 at 12:15 pm

‘I think I was correct’

Think again,

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anonymous

July 21st, 2012 at 12:17 pm

‘it just further demonstrates your view of what equates to intelligence and status is directly linked to money.’

no it’s not the money really, you handing it over to me in the financial markets doesn’t make it about the money, it just shows that even after know markets are rigged, you continue to come back, what do you call such a person ? gambling addict, thrill seeker, moron,

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anonymous

July 21st, 2012 at 12:19 pm

‘I dont have my money in any investment vehicle that has a counter-party.’

so where is your money sitting, Champ,

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anonymous

July 21st, 2012 at 12:20 pm

‘congratualtions how innnovative and smart you must be for exploiting that opportunity.’

no i was born without any creativity or drive, i then realized that i don’t have to be poor to go with it,

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anonymous

July 21st, 2012 at 12:29 pm

‘Transaction taxes are idiotic.’

they are not, it’s just that it hurts your trading book directly, that’s why you label them idiotic, it’s natural human defense mechanism, goes back to the primate times in the jungle,

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anonymous

July 21st, 2012 at 12:30 pm

‘reactions from people like 2:12′

you care to say anything more worthwhile to the reaction rather than joining the other rhetoric friend’s club,

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anonymous

July 21st, 2012 at 12:31 pm

‘has a boner for things he expects to come,’

what do you think is likely to happen over next few year’s time that is likely to get a grad hard now?

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anonymous

July 21st, 2012 at 12:56 pm

How’s it different? Apple actually makes something that creates value. It’s a product. HFT is just an interception technology that offers a flimsy justification of liquidity. But as I tried to raise there is a difference between investing in value based on fundamentals and speculating on capital gain and how that relates to time horizons and direction of capital towards companies with strong fundamentals.

You mention bid and offer – with proper price discovery mechanism at the exchange (which in my view should be a utility) buyers and sellers adjust their price. That’s how a market should works. Both have to adjust the price until an execution is transacted. It still can be conducted at speed if the bid is adjusted to the offer or vice versa. The transaction tax would work by eliminating HFT (it’s becoming commoditised anyway as costs of IT development, co-location et al are increasing to get that millisecond faster) because costs would exceed revenue due to volume and the margin being eroded by the tax. Why should this transaction be intercepted at the exchange and the cream being syphoned off? It’s not required. The financial and economic system should be focussed on activities that reward market participants for risk, innovation and the production of goods or services that create value. HFT companies do neither.

To your point about increasing costs for everyone else: You average non-institutional investor (as opposed to speculators) which form a large section of the market from which you loot from only invest in companies they know intimately and believe strongly in. Generally they only invest in 3 – 7 companies and are prepared to pay the transaction costs because investment is strategic, derives a revenue stream in the form of a dividend (presuming it is successful) in the mid to long term as opposed to short term speculation. HFT moves the market at a speed that it does not need to go. It diverts attention from where the market needs to be focussed on and that is INVESTING not SPECULATING on price differentials. If digital exchanges exist now and they are a utility (efficiency and speed funded by the transaction tax) why should brokerage or transaction costs increase? Again removes the middle man of HFT and capital goes directly to where it has most benefit.

The market is a system and like any system has rules otherwise nobody would play. Markets still need to be regulated for true capitalism (ie read Adam Smith). If you were a soccer team would you take the field if the other side could all use their hands not just their feet? So why should market participants be handicapped because their computers aren’t as fast?

I understand that using that rhetoric is going to incense some people in HFT. But there is a growing bunch of lay people who may not know linux etc but know how to use the internet and are becoming pissed off that there are people making lots of money at their expense that creates very little value because their computer is one second faster. Also HFT typically operate off a line of credit and are highly leveraged to create profit from volume. Just to remind you credit is not capital or equity its debt. And at least in your industry I argue it may be income producing debt for you and your traders/IT but its nota productive use of debt from a systemic point of view. My role is building an understanding of it and lobby government dismantle it. Unless convinced otherwise. On face value it seems like a scam to me. And as 2:12 points out I am not an active trader but spent some time in professional/financial services industry – I’m just looking at it with fresh eyes.

As to your analogy about 30km/h. interesting you chose that speed. I would change it and use the same analogy to reinforce my point. What’s wrong at going 60 km/h around town – you still get to destination safely and enjoy the view but going at 120 – 170km + its dangerous and you miss everything and cant smell the roses. HFT is going at this speed and 60km/h most people are happy with. Fits better with INVESTMENT.

Fair call about 2:12 point taken. Just reinforces my view that I suspect that this industry attracts some psychopaths that lie somewhere on the autism spectrum and don’t see the broader ramifications of their little money machines.

If you are truly proud of the value you create and the efficacy of your industry – I challenge you during the next financial crisis to list your address, industry achievements and photo in the local newspaper and see how many friends you make. I accept its not likely for other personal reasons but I encourage you to ponder the question. Are you truly proud of what you do or are you like 2:12 and stick to measuring your achievements denominated in dollars because your measures in other aspects of your life are inadequate?

Also I agree with circuit breakers – valid point. Europe gets something right maybe naked short selling is next?

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anonymous

July 21st, 2012 at 2:18 pm

you back again, man come on, sun is out, go enjoy some,

if you think HFT is just an interception technology that offers a flimsy justification of liquidity, then just don’t trade against them, happy, and what is this talk about dismantling the industry, you can tax it a bit, but don’t pick winners or losers,

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anonymous

July 21st, 2012 at 2:19 pm

‘I challenge you during the next financial crisis to list your address, industry achievements and photo in the local newspaper and see how many friends you make.’

if i wanted to be popular i would do that, i prefer being anon, see my name at the top,

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anonymous

July 21st, 2012 at 2:20 pm

‘Are you truly proud of what you do or are you like 2:12 and stick to measuring your achievements denominated in dollars because your measures in other aspects of your life are inadequate?’

yes i am truly proud of what i do and i don’t see why measuring it with money makes it any less of an achievement, or are you the commie bastard who is going to tell me how to live my life ?

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anonymous

July 21st, 2012 at 2:22 pm

‘naked short selling is next?’

why do you want to ban naked short selling, if Lehman can commit fraud, we need an Einhorn to expose it,

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anonymous

July 22nd, 2012 at 2:00 am

Typical response 2:20 calling me a commie bastard. I believe in social justice but I aint from the far left. I believe in the rule of law for democracy and for that matter capitalism to succeed. If you believe in unfetted laissez-faire markets don’t be surprised if you get violently car-jacked in your Ferrari by a hoody that wants to play by the same rules. If you believe in “trickle down” regarding the rich fuelling lower social classes well you would have to agree that there can be a trickle down in values?

See my comments and analogy above about a soccer game. The financial system has rules so that it is fair for all participants and rewards them for the value they create.

No I’m not going to tell you how to live your life that’s completely up to you. Living your life and the rules which do and should govern participants when they interact with the market are separate issues.

Nice try though to distort this discussion. Again that is a typical defensive response by people that achieve wealth through hollow and shallow enterprises to avoid the content of the discussion and use negative labels. Whilst we are on the subject I want to make the distinction between you and issue raised by another poster about Apple. At least Steve Jobs created value and produced a product. That’s capitalism at work right there rewarding true entrepreneurialism. The millions he made – DESERVED. HFT is completely different.

I am glad you are proud – care to explain why it is so fulfilling to you? Just interested.

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anonymous

July 22nd, 2012 at 11:25 am

Go back to the post, the guy didn’t call you commie, he just asked you if you were a commie.

How do you define Social Justice? How are you linking HFT with unfetted laissez-faire markets?

“trickle down” is just a phrase popularized by Republicans to protect the 1% and keep reducing down their taxes, the tax intake has been historically 20% of US GDP but now it stands at around 15%, “trickle down” is sold as a way that the wealth not being paid in taxes would “trickle down”

Your analogy about soccer game is correct, the financial markets are rigged heavily and so only professional or gambling participants should enter the market

While Apple has a defined product, HFT/Financial is a service industry since Liquidity is not a tangible product per se. Both have achieved high return on equity and it’s fulfilling to achieve success on the hard work put in it, is this not obvious to you?

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anonymous

July 22nd, 2012 at 2:33 pm

“My role is building an understanding of it and lobby government dismantle it”. I’ve read your posts but you are not trying to understand anything: you have formed your opinion and you are collecting arguments to support it.

Of course I don’t agree with you. First of all there is a definition problem. You are speaking to market makers and arbitrageurs here, who per definition do not speculate and also disapprove hedge fund’s behaviour involving directional bets especially those on the short side. There you can hold your preach about economical value and the purpose of markets.

The problem is that all professional market participants are pushed towards technologically advanced systems, and that this now is thrown on the HFT pile. It is the behaviour that needs to be addressed, not the means.

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anonymous

July 22nd, 2012 at 7:47 pm

How do you mean ‘you are not trying to understand anything’; there’s nothing wrong with ‘formed your opinion’ if it’s opinion formed off much deliberation in past and still constantly evolving based on changing market conditions.
 
How do you suggest behaviour to be changed, transaction tax, I agree with you, happy?

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anonymous

July 23rd, 2012 at 2:43 am

Last 2 posts; fair enough. I did enjoy the discussion and some worthwhile points were raised and taken onboard. Sometimes its worth raising some confrontational points – it draws discussion. I think my main concern which is shared by some opposing positions here is that behaviour and market stability issues needs to be addressed. It is just the method, form of regulation and scale that needs to be determined. Thankyou for constructive input from some of the posters.

At 2:33. When I read that you do not speculate; my immediate thought was do you invest? If it is neither I am still concerned that there is no real benefit such as a product or a worthwhile service that serves market stability. If HFT and the liquidity it produces is a service benefit measured in milliseconds (again refer my comments re investment vs speculation in the context of time horizon) why couldn’t this service transition to a utility provided by exchanges rather than private enterprise now that the real tangible speed of transaction benefits have been reached?

I do agree “dismantle” was perhaps too strong a position. Whilst I am a capitalist there just seems to be a weekly scandal in the finance sector that threatens not just the financial system but all participants. That means everybody not just professional traders and anybody that has a savings account. Think Libor, HSBC, MF Global, PGF et al. There is an obvious behavioural issue here as to what incentivises (or regulation, criminal prosecution that disincentives) traders to do what they do. Whilst it might be considered legal and carte blanche my concern is at least on face value I find it hard to distinguish between intercepting orders at the exchange and flash orders etc and intercepting a money truck back-filling a bank cash reserves on a Monday morning. One uses guns and the other uses a computer. One involves 100′s of dollars and the other may involve millions of dollars. But its the impact to the economic system and on everyday people that concerns me. Why is this a concern – its a slippery slope gentleman. The benefit if it all of HFT (and other financial “innovation”) and the “technological arms race” now in progress is out of proportion to the risks it poses.

The only real financial innovation I have witnessed the last several decades is the ATM. Apart from a few simple Futures contracts for agricultural, energy and resource commodities a lot of the products out there serve no real purpose except to mis-price and increase risk. HFT just speeds this all up and even with circuit breakers it just harvests money out of the system. The system needs a radical re-design hence my use of the word parasite. A parasite eventually kills the host killing the parasite.

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anonymous

July 23rd, 2012 at 6:36 am

Say all HFT vanished suddenly and there are only investors in the market. Now if you buy as an investor, you would buy below the value that you think is fair. So are you looting the other guy who sold you the shares because he did not do his homework properly? How is it less parasitic than HFT?

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anonymous

July 23rd, 2012 at 8:14 am

@6:36 HFT needs to transition to a utility at the exchange. I don’t think it is possible for HFT to disappear altogether. Not unlike banks whereby they need to segregate their investment and retail components the exchanges need to become impartial in linking buyers and sellers. This can be done without HFT middleman. This pre-occupation with ultra short time horizons is not consistent with investing in directing the available capital to income producing ventures. HFT behaviourally perpetuates this ultra short-termism moving further away from true investment.

The system does not need to operate at this speed. HFT’s proponents argue that there is a liquidity advantage. My argument is that the price (and is the revenue for private HFT firms) for this speed is looted from the economic system as this advantage has become irrelevant to the buyer and seller because the incremental difference afforded amongst HFT competitors is measured in milliseconds.

BTW what do you mean homework? That is one scenario out of a range of reasons that forms part of a selling decision. If you are selling your car and you are moving overseas you reduce the price to meet this time pressure and the market. Why should HFT skim your money from the spread? Either a transaction tax or the liquidity function transitions to a utility under a countries jurisdiction.

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anonymous

July 23rd, 2012 at 10:57 am

Nice you mention the selling the car when you move abroad. I think HFT is the second-hand car salesman. If you can afford to wait you put your car for sale on some dedicated website and wait till someone wants to pay your price. However if you are leaving tomorrow you don’t have that time to wait, so you go to the second hand car salesman who will give you a price (lower than what you would be able to get online), but at least you can sell your car immediately. So to answer your question about why HFT should skim from the spread? Because they offer the service of immediate execution. Again: you have the option to trade against them. You don’t have to.

As for the speed: the milliseconds faster execution is not the service HFT provides, the fact that they are willing to trade against you at any time is the service. The fast execution is just the result of giving such tight spreads for you to trade against. There is less margin for error, so in case of a small move in the market they immediately need to adjust their prices to reflect the changed reality so they don’t get picked off (don’t forget that a HFT firm often has many prices in the market, and needs to update them all. Someone that wants to profit of a stale price only needs to trade against one to make a profit. This means that someone who provides liquidity needs way more capacity than the people that trade against them. So the fact that HFT firms have more invested in infrastructure than the average joe doesn’t mean that the average joe is at a disadvantage). Before HFT this service (liquidity provision) was also provided in the market (‘hoekmannen’, specialists), only they rigged the market way more than HFT ever did: often you would not be able to trade against the price they showed, and if you were it was often in a way wider market. They didn’t run the risk of people taking out their prices once the market moved; with every order coming in they could choose if they really wanted to trade at their quoted price. These people didn’t need speed for that reason. Getting rid of HFT and bringing this back would be a big step backwards. The system needs to operate such that someone posting a quote has the possibility to change that quote once the market moves. You either do that by riging the market the old-fashioned specialist way, or by speed. Speed is the preferred option.
What you also don’t seem to realize is that money made by HFT is not ‘stolen’ from the system, it’s just a different party that takes it. Example: basket trading. Future moves up, computer of HFT firm sells future and buys all stocks in basket and makes small profit. If there hadn’t been a HFT firm, there would have been some other party doing this trade, whether it’s a bank or someone else that can enter orders quick enough. Before HFT people executed these kind of trades manually (but with the difference that they would wait until the margin was bigger, after all the risk of not getting everything was also bigger because of the time it took to execute). So the advantage of HFT is that the prices of stocks and futures are more in line, and you can be more certain of getting a ‘fair’ price when putting in your order. Another benefit of HFT.

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anonymous

July 23rd, 2012 at 10:59 am

By the way: you mentioned several times things like ‘your industry’. I don’t work in a HFT firm. I’m an investor, and just happen to think that the current situation is better than the situation as it used to be.

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anonymous

July 23rd, 2012 at 11:37 am

@10:59 Thankyou for your points. I am starting to see there are some advantages. Whether that equates to a net benefit to the system, what alternatives exist or if there is a way to mitigate some of the disadavantages will require a bit more research on my behalf. Thankyou for your clear explanation.

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anonymous

July 23rd, 2012 at 12:27 pm

Can you guys find some way to exchange email addresses or something and just fuck off?

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anonymous

July 24th, 2012 at 12:11 am

‘why couldn’t this service transition to a utility provided by exchanges rather than private enterprise now that the real tangible speed of transaction benefits have been reached? ‘

Exchanges are in business of providing matching, they are not going to be a counterparty.

‘Libor, HSBC, MF Global, PGF et al.’

When there is vast amount of money flowing through financials, there will be people with lazy and weak minds.

‘The only real financial innovation I have witnessed the last several decades is the ATM’

you missed paypal i think.

‘The system needs a radical re-design hence my use of the word parasite. A parasite eventually kills the host killing the parasite.’

Radical re-design is out of the question in real world, calling financial, a parasite is hyperbole, but not far from truth, they are frictional cost of capital allocation. M2 has gone up significantly, velocity has dies down in the meanwhile, along with financial’s earning power.

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anonymous

July 24th, 2012 at 12:13 am

‘Say all HFT vanished suddenly and there are only investors in the market.’

This is completely hyptothetical situation and highly distractive to the argument.

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anonymous

July 24th, 2012 at 12:14 am

‘Can you guys find some way to exchange email addresses or something and just fuck off?’

if this is not being censored, then nothing should be.

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anonymous

July 24th, 2012 at 12:18 am

‘the exchanges need to become impartial in linking buyers and sellers.’

This is strong point, HFT as market makers have the dice heavily loaded for them, in a number of ways, not least with the help of exchanges.

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anonymous

July 24th, 2012 at 12:32 am

‘Again: you have the option to trade against them. You don’t have to.’

If HFT are the most agressive and fastest market makers, do you think price taker has any option?

‘So the fact that HFT firms have more invested in infrastructure than the average joe doesn’t mean that the average joe is at a disadvantage).’

REally?

‘Getting rid of HFT and bringing this back would be a big step backwards’

Again totally hypothetical statement and completely distracting the argument.

‘I’m an investor, and just happen to think that the current situation is better than the situation as it used to be.’

of course for professional participants, the situation is good, both as market maker or taker, but that can’t be said about large majority of participants, they ain’t professionals in the game.

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anonymous

July 24th, 2012 at 4:56 am

Well, the whole discussion about HFT being bad is hypothetical. You can’t be serious, come on :)

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anonymous

July 24th, 2012 at 5:01 am

‘The system does not need to operate at this speed’

Probably. But why do you care? It’s operated at this speed because the guys who “loot” compete for their piece of meal. You will be “looted” anyway if you put a bad price in the market. Does it make any difference to you whether it happens in a minute, second or microsecond? I guess it doesn’t.

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anonymous

July 25th, 2012 at 6:51 am

‘the whole discussion about HFT being bad is hypothetical.’

how did you reach that wonderful and rather self-serving conclusion?

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anonymous

July 30th, 2012 at 4:02 am

https://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions

Are the names that Tibra co-founders named their companies indicative of the culture and attitude of HFT’s?

Raska Enterprises Pty Ltd

Chaotic SB Pty Ltd

The Berry Rockin Trust

Geen Pty Ltd (formerly known as Begg, Borrow and Steal Pty Ltd)

Roohif Pty Ltd (very close to ‘roofy’ – the date rape drug)

Genius Loci Holdings Pty Ltd (formerly known as Impropriety Unlimited Pty Ltd)

Rottengarabaldi Pty Ltd

FTD Trading Pty Ltd (ACN 117 881 759) (now known as Tibra Trading Pty Ltd)

Is there an irony that their website states:

“no egos please”

http://www.tibra.com/tibra_capital_who_we_are

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anonymous

July 30th, 2012 at 8:25 am

https://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions
Are the names that Tibra co-founders named their companies indicative of the culture and attitude of HFT’s?
Raska Enterprises Pty Ltd
Chaotic SB Pty Ltd
The Berry Rockin Trust
Geen Pty Ltd (formerly known as Begg, Borrow and Steal Pty Ltd)
Roohif Pty Ltd (very close to ‘roofy’ – the date rape drug)
Genius Loci Holdings Pty Ltd (formerly known as Impropriety Unlimited Pty Ltd)
Rottengarabaldi Pty Ltd
FTD Trading Pty Ltd (ACN 117 881 759) (now known as Tibra Trading Pty Ltd)
Is there an irony that their website states:
“no egos please”
http://www.tibra.com/tibra_capital_who_we_are

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anonymous

July 31st, 2012 at 3:29 am

Are the names that Tibra co-founders named their companies indicative of the culture and attitude of HFTs?

http://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions

Raska Enteprises Pty Ltd

Chaotic SB Pty Ltd

The Berry Rockin Trust

Geen Pty Ltd (formerly known as Begg Borrow and Steal Pty Ltd)

Roohif Pty Ltd (very close to ‘Roofy’ the date rape drug?)

Genius Loci Holdings Pty Ltd (formerly known as Impropriety Unlimited Pty Ltd)

FTD (F*ck The Dutch) Pty Ltd (ACN 117 881 759) (now known as Tibra Trading Pty Ltd)

Is there an irony that their website states:

‘no egos please’

http://www.tibra.com/tibra_capital_who_we _are

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anonymous

July 31st, 2012 at 3:50 am

Are the names that Tibra co-founders named their companies indicative of the culture and attitude of High Frequency Traders???

Raska Enteprises Pty Ltd

Chaotic SB Pty Ltd

Geen Pty Ltd (formerly Begg Borrow and Steal Pty Ltd)

Roohif Pty Ltd (sounds like ‘Roofy’ the date rape drug???)

Genius Loci Holdings (formerly known as Impropriety Unlimited Pty Ltd)

FTD Trading (F*&^ The Dutch) now known as Tibra Trading Pty Ltd

Also, is there any irony that on their website it states?:

‘no egos please’

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anonymous

July 31st, 2012 at 3:52 am

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anonymous

July 31st, 2012 at 7:33 am

how long is this case going to take until a final result?

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anonymous

July 31st, 2012 at 7:42 am

@4.02 Are the actions of Joseph Stalin indicative of the culture and attitude of lefties?

Let’s not generalise based on such a tiny and unrepresentative sample.

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anonymous

August 1st, 2012 at 7:22 am

“Are the names that Tibra co-founders named their companies indicative of the culture and attitude of High Frequency Traders???”

Are you on drugs?

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anonymous

August 1st, 2012 at 7:25 am

@7:22? Yes, No, Maybe. How is your question relevant?

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anonymous

August 1st, 2012 at 4:10 pm

so they came up with wacky names, big deal, and what has that got to do anything with

‘Also, is there any irony that on their website it states?:

‘no egos please’’

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anonymous

August 1st, 2012 at 4:12 pm

‘Yes, No, Maybe. How is your question relevant?’

It’s relevant because either you are too naive or plain high.

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anonymous

August 2nd, 2012 at 3:17 am

@4:12 Still yet to hear a constructive comment. The question I raise prompts whether values reflect attitude, attitude reflects culture and culture reflects conduct. If the names of the companies are anything to go by their values and conduct is anything but professional or trustworthy. Would you go to a doctor, lawyer or investment advisor with those names? There is not just one ‘wacky’ name; there is a pattern.

Interesting that you use the word “wacky” and to suggest that I am naive or high with no basis other to than express a viewpoint. That’s a common diversionary tactic instead of discussing the issue.

The financial world particularly the HFT space is attracting lots of attention at the moment as to its utility to the economic system (ie Bill Shorten – Financial Services Minister in Australia called a senior market participants meeting last Thursday). Public and retail trust and confidence is eroding due to almost daily high profile financial crimes.
As a result a public narrative is being constructed whereby the practices of investment banks, hedge funds and HFT prop houses are becoming synonymous for greed. Naming their companies ‘wacky’ names now that this intellectual property case is in the public domain and open to scrutiny suggests that whilst the Tibra co-founders were perhaps intelligent in programming and trading they were not that strategic in their thinking or branding. I can only surmise that hubris and egosim prevented them seeing potential ramifications downstream.

The impacts of ‘wacky’ names may seem immaterial to you but the real tangible ramifications will only serve to reinforce this negative public narrative and attract further regulatory attention as to their conduct. This will affect them in a real and material way. Intelligent yes, but in one dimension.

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anonymous

August 2nd, 2012 at 5:20 pm

Avatar

anonymous

August 2nd, 2012 at 5:21 pm

Avatar

anonymous

August 2nd, 2012 at 5:26 pm

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anonymous

August 2nd, 2012 at 5:48 pm

@7:42. Admittedly it is a small sample size but thats the point right there. The majority of the co-founders chose ‘wacky’ names.

‘Let’s not generalise based on such a tiny and unrepresentative sample.’

I would contend that the Tibra co-founders came from various companies previously. That increases the validity of the sample and any viewpoints about the culture in the industry.

I would even contend that if you were to sample the contents of this blog and loosely categorise comments into those leaning in favour to HFT and those leaning away from its utility that those in favour are far more likely to use crude and vulgar language; indictative of hubris and egoism.

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anonymous

August 2nd, 2012 at 6:24 pm

Subpoena

Schedule
The documents and things you must produce are as follows:
1. All documents relating to the incorporation of FTD Trading Pty Ltd (ACN 117 881 759) (now known as Tibra Trading Pty Ltd), including all documents provided by and correspondence from any person in relation to such incorporation.

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anonymous

August 2nd, 2012 at 6:41 pm

Ok, let’s phrase it different for you. The Tibra co-founders are all Australians. Am I now to draw conclusions about the culture of Australians because of that?
That they come from different (two!) companies doesn’t mean that everyone at those companies has the same attitude. More likely is that their attitude didn’t match the culture at those companies and that that’s the reason they left/were sent packing.

Using this forum as a benchmark seems like a bad idea. I’m pretty sure that people who actually run the show in HFT firms don’t bother posting here. It’s mostly the kiddos that think they’re underpaid that are posting here. If you actually mean something you set your own pay, so there’s no need for complaining.

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anonymous

August 3rd, 2012 at 12:37 am

‘there is a pattern’

you can find a pattern wherever you want to, ever heard of overfitting?

‘That’s a common diversionary tactic instead of discussing the issue’

Do you realise why that tactic is used? So as to not waste time debating with naive fella like you, you sound like a guy who will prefer to use his feet to walk away rather than using your head to find your mistakes.

‘Bill Shorten – Financial Services Minister in Australia called a senior market participants meeting last Thursday’

As a politician, it’s his job to go with public stupidity rather than well thought economic reasoning.

‘they were not that strategic in their thinking or branding’

Didn’t you ever do stupid things growing up?

‘I can only surmise that hubris and egosim prevented them seeing potential ramifications downstream.’

sur·mise/sərˈmīz/
Suppose that something is true without having evidence to confirm it: “he surmised that something must be wrong”.

let me guess, you would have good future as a Financial Services Minister in Australia.

‘to reinforce this negative public narrative and attract further regulatory attention as to their conduct.’

on second thought, you would make a good regulator too.

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anonymous

August 3rd, 2012 at 12:49 am

Avatar

anonymous

August 3rd, 2012 at 12:51 am

‘I would even contend that if you were to sample the contents of this blog and loosely categorise comments into those leaning in favour to HFT and those leaning away from its utility that those in favour are far more likely to use crude and vulgar language; indictative of hubris and egoism.’

lol, this guy is for real.

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anonymous

August 3rd, 2012 at 12:53 am

‘If you actually mean something you set your own pay, so there’s no need for complaining.’

err its ‘say yes to earn your own pay’

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John Bradford

August 3rd, 2012 at 10:11 am

Since noone’s mentioned it yet, Knight Capital has effectively blown itself up. For those who haven’t followed it see http://www.zerohedge.com/news/what-happens-when-hft-algo-goes-totally-berserk-and-serves-knight-capital-bill

Now the thing that I’m curious about is whether there is anyone out there working for the Amsterdam marketmakers who’ll dare to claim with even 95% percent that there is not a HFT firm to whom this can happen.

The amazing thing to realise is the hubris that management of those who made a profit off of Knight will be showing in these days. Noone out there will be willing to give back their share of what they earned off of Knight, dreaming that this could not happen to them while both Optiver and IMC have made similar fuck-ups before but have had the good fortune of killing the errant boxes on time. Some day, someone will take a slightly longer coffee break or a box will be maxxed out for speed, bypassing some safety in the system and another one will bite the dust.

Why? Because the founders are comfortable with the millions they’ve already cashed out and are arrogant enough to believe that this can’t happen to them. Atleast with the Amsterdam houses they won’t burn through people’s pensions but will only blow up ABN once more.

FTD indeed.

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anonymous

August 3rd, 2012 at 11:27 am

Amen John, I gave back all of my profits from Knight’s snafu because it was the RIGHT and HONORABLE thing to do. That made me feel better inside than any monetary gain ever could. (In fact, I even lost some money in the end because some of my hedges against hubristic counterparties couldn’t be busted.) But I don’t care. Someday the Lord will reward me.

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anonymous

August 3rd, 2012 at 12:19 pm

Nice zerohedge article. sounds like a v complicated algo indeed!

mybid=marketoffer
myoffer=marketbid

One of the comments on the zerohedge article seems to indicate knight are less than honest, anyone got some light to shed on that??

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anonymous

August 3rd, 2012 at 3:06 pm

Capital Punishment for Crimes Against Capital

http://maxkeiser.com

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anonymous

August 3rd, 2012 at 6:13 pm

Okay

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anonymous

August 4th, 2012 at 7:48 am

Sterk stukje gefrustreerdheid bij John hierboven. Iets zit hem dwars. Straks gaat hij overstromingen in Noord-Korea projecteren op het lage NAP aan de Zuidas, met desastreuze gevolgen.

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anonymous

August 4th, 2012 at 12:53 pm

Strong bit of frustration with John above. Something is bothering him. Later, he floods in North Korea at the low NAP project at the Zuidas, with disastrous consequences

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anonymous

August 4th, 2012 at 3:05 pm

Bradford is for real, there is no any specific frustration.

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anonymous

August 4th, 2012 at 4:01 pm

Jouw stukje wordt per alinea triester, daar hoeven we inhoudelijk ook niet eens op in te gaan. In derde persoon op jezelf reageren is ook fraai.

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anonymous

August 4th, 2012 at 9:19 pm

Your piece is a paragraph sadder because we do not agree on the content to go. In third person to respond yourself is also nice.

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anonymous

August 7th, 2012 at 2:14 am

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anonymous

August 7th, 2012 at 2:15 am

investors are going to lose faith in the market and pull out

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anonymous

August 8th, 2012 at 3:38 am

Why, did they loose faith when jpm dropped 7.5bn, or countless such cases, you underestimate ‘hope’ my friend.

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anonymous

August 8th, 2012 at 3:40 am

‘key comment at 3:25′

can’t seem to find it, can you post it here ?

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anonymous

August 8th, 2012 at 9:13 am

he’s talking about the clueless guy in the video who’s talking about how HFTs can’t manage the risks associated with high speed, and as examples he gives the FB and BATS IPOs that don’t have anything to do with it.
I can’t take that guy seriously, and neither can I take Henry Blodget seriously (if you ask me that guy personally has done more damage to financial markets than all HFT firms combined). So don’t bother wasting your time watching that video.

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anonymous

August 8th, 2012 at 9:14 am

Addition: Henry Blodget is the interviewer.

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anonymous

August 8th, 2012 at 1:14 pm

Henry Blodget (born 1966) is an American former equity research analyst, currently banned from the securities industry, who was senior Internet analyst for CIBC Oppenheimer during the dot-com bubble and the head of the global Internet research team at Merrill Lynch. Blodget is now the editor and CEO of The Business Insider, a business news and analysis site, and a host of Yahoo Daily Ticker, a finance show on Yahoo.

Yes this guy can clearly be trusted and listened to with no grain of salt.

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anonymous

August 28th, 2012 at 11:28 am

Australia to lead the way in ending HFT

http://www.hangthebankers.com/australia-to-lead-the-way-in-ending-high-frequency-trading/?utm_source=rss&utm_medium=rss&utm_campaign=australia-to-lead-the-way-in-ending-high-frequency-trading

Australia to lead the way in ending high-frequency trading027 Aug 2012asx, australian stock exchange, crime, elmer funke kupper, finance, hft, high-frequency trading, manipulation, money, retail, shares, stock marketby Jacque FrescoASX chief executive Elmer Funke Kupper believes that Australia can lead the world in eliminating the evils of high frequency traders who are creaming money from retail investors and those who manage retail money.

On close questioning by the KGB, Funke Kupper agreed that if this move fails, the ASX will have to consider cutting the pipes that give the high-frequency traders the chance to jump in front of orders to make retail buyers pay more and sellers get less.

Of course the high frequency traders pay large sums for this right to manipulate the market.

I have never known such a chaotic situation in the Australian Stock Exchange. Readers are now coming to me with examples of peculiar trading events – but more of that later.

In fairness to Australia, in New York the situation is worse. Both markets have been enticed into what Star Wars fans would call the ‘dark side’. The victims are smaller investors or fund mangers acting on behalf of smaller investors.

In New York, most fund managers have been forced to abandon the New York exchanges because of the bad practices. In Australia the same thing is happening. Full marks to the institutions. The exchange regulators in Australia and around the world should hang their head in shame for allowing this to happen.

Because it is so serious the KGB Interview with Funke Kupper is longer than usual and I was more aggressive than normal.

To the credit of Funke Kupper he admitted that mistakes had been made. He believes with a passion that the technology that high-frequency trading uses has aspects that are very good for markets.

The regulator needs to introduce measures that will make it too costly for the high-frequency traders to rip money off small traders and fund managers but will preserve the good parts of the technology.

I fear that the Australian regulators will not protect smaller investors but Elmer Funke Kupper says I am wrong and that the regulators are on top of it. I genuinely hope he is right and my fears are unfounded.

Let’s therefore give the regulator the chance to do the right thing in the interests of retail investors and those managing the savings of smaller investors. Meanwhile, in the next few months it is important that fund mangers continue to develop what are called “dark pools” where they trade among themselves because although these pools have many bad features they are the only mechanism we have to make sure the regulator gets on top of the bad features of high frequency trading.

Towards the end of the interview we really get to the nub of the question and I put to Funke Kupper that if his solution of tightening rules does not work and the fund mangers are still not happy with the way the ASX is being conducted, then the only solution is to cut the high frequency trading pipes.

Funke Kupper: Well, my… Yeah, maybe it is. I think it’s a hard decision to make”.

And then I put to the ASX chief this proposition: “If you can fix it and the fund managers believe it’s a fair market, then that’s fine. But if you can’t, then I tell you what to do” (I will be telling the ASX to cut the pipes)

Funke Kupper: “And so you should. But remember if we cut the pipes, we’re back to your solution which is there one exchange in this country. I mean it’s a consequence of doing it and so that will be a very deliberate space trade-off by regulators to, say…

Kohler: Oh, are you saying that CHI-X can’t exist without high frequency trading?

Funke Kupper: I suspect that model is more dependent on it than our model. In fact multiple exchanges really to some degree depend on that kind of model. The next stop in this…

Kohler: So, that’s an interesting statement. I mean so are you saying that the stock exchange competition actually relies on high frequency trading in order to have competition?

Funke Kupper: It’s a circular argument ….

You can follow the debate from there in the transcript. As far as I am concerned, if the regulators can’t make the trading fair then the pipes should be cut. The ASX is very close to agreeing. That’s a big step forward.

Meanwhile when you have a market being manipulated by high frequency traders ordinary people get very upset. Here are two examples that have crossed my desk. Just over a week ago BCI Iron was trading at $2.65 and then in about two minutes it was boosted to $ 3.50; then there was a sale (later cancelled) at $4.64 and then half an hour later the stock was back to $2.65 – blatant market manipulation.

Last week NKWE Platinum was trading at 5 cents and three minutes later fell to 4.5 cents in trades which had a total value of less than $5. And then back to 5 cents. That market manipulation represented a $3 million market capitalisation move. In fairness the stock was later suspended because the major shareholder was being forced to sell its shares.

There is a lot of work to be done to ensure fairness on the ASX.

The good news is that the ASX chief executive does understand there is a problem that must be fixed.

Footnote: Just to be clear cutting the pipes is a dramatic expression for ending the deals that give the legalised insiders preferential access to the market.

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anonymous

August 28th, 2012 at 1:05 pm

BCI was “blatant market manipulation”? Is this guy serious?

It looks like some idiot put in a market order, that’s all. How is HFT to blame?

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anonymous

August 28th, 2012 at 1:14 pm

“How is HFT to blame?”

Yep, BCI has about 80 trades per day. They call that Super-High Frequency Trading. SHFT for short.

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anonymous

August 29th, 2012 at 12:06 am

Footnote: Just to be clear cutting the pipes is a dramatic expression for ending the deals that give the legalised insiders preferential access to the market.

lol, cut the pipe, haha.

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anonymous

August 29th, 2012 at 9:38 am

Such nonsense. Even if HFT are not co-located, their trading software will still be faster than whatever the fund managers have in their office, so they’ll still be the first ones to react to new incoming orders.
So what’s going to be the next step then? Ban computers?

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anonymous

August 29th, 2012 at 10:24 am

Well one could redesign the trading algorithm at the exchange to eliminate speed advantages. Some auction every minute, in which time of arrival of the order is not relevant… something like this… this actually makes sense from an economic point of view.

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anonymous

August 29th, 2012 at 11:31 pm

really some exchange has auction every min?

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anonymous

August 30th, 2012 at 12:27 am

Some exchanges have auctions whenever prices are matched. Gives each participant an opportunity to back out of the trade.

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anonymous

August 30th, 2012 at 4:41 am

Leading fund managers are calling for greater regulation of high frequency trading which they warn is resulting in market manipulation and insider trading at the expense of retail shareholders.

http://afr.com/p/business/companies/crack_down_on_high_frequency_trading_CSA9PgK9WGQJp9sgngTF7K

Michael Smith, Bianca Hartge-Hazelman and Stephen Shore

Perpetual Investments said yesterday it would join Schroders Australia and Antares Capital in questioning major stockbrokers about the way high-speed trades were conducted and the risk systems in place.

Matt Williams, head of Australian equities at Perpetual, welcomed an investigation by the corporate regulator this week of the impact on the market of HFT but said it did not go far enough.

“Whilst the impact on volatility and avoiding a flash crash/Knight Capital scenario is important, to us the bigger issues are around market integrity,” Mr Williams told The Australian Financial Review.

“In my view HFT is at best front running of real client orders, and at worst market manipulation. I urge ASIC to look at these issues.”

Mr Williams’ comments highlight growing concern among fund managers about HFT and algorithmic trading. The Australian Financial Review revealed yesterday that Schroders and Antares, a subsidiary of NAB, had sent letters to brokers asking about the way HFT was being used. Perpetual said it would do the same. Other large fund managers contacted by the AFR said they were also concerned but did not want to speak about the sensitive issue on the record.

Simon Marais, managing director of fund manager Allan Gray, said it was difficult to regulate HFT which often resulted in losses for traders using the system. “It is a stupid thing to do. I know very few high frequency traders who have made money. You never hear about the losers,” Mr Marais said.

“If you want to do it it is very difficult to regulate these things away.” However, he would not go as far as to say it threatened the market’s integrity but said he was worried about insider trading in general.

“This market is farcical, it’s a joke,” Clime Investment Management managing director John Abernethy said. “I’ve been in the markets for 30 years, but I can’t even be bothered to watch throughout the day now.”

Stockbrokers who execute HFT trades strongly rejected claims the system was leading to market manipulation. Australian Financial Markets Association chief executive David Lynch said: “HFT trading shouldn’t be equated with market abuse. The industry supports regulation that prohibits any practices that are abusive.”

Paul Hilgers chief executive of options trading firm Optiver, said “research has shown that HFT has increased market quality in terms of liquidity, spread width and volatility. If technology is used to deliberately manipulate the market or in broader terms to put market quality at risk we have to identify those parties and their strategies,” he said.

High-frequency trading, or HFT, is generally considered to be computerised trading characterised by the automatic generation of large numbers of trades based on price movements and market information, with traders holding positions for a very short time. A recent technical glitch by US trading firm Knight Capital which distorted the trading of nearly 150 stocks on Wall Street put the practice in the spotlight.

The strategy accounts for about 30 per cent of activity in the Australian market, roughly half that in the US but on a par with Europe.

The Australian Securities and Investments Commission said on Monday it was looking at high-speed share traders as part of a wider clampdown on insider trading.

The main concerns with strategies that use high frequency trading techniques are that some investors can be put at a disadvantage if faster traders are able to jump ahead of the queue or “front run” when buying and selling stock.

Another concern is that if poorly programmed algorithms are executed using high frequency trading strategies, this may trigger artificial spikes or dips in multiple stocks.

But some market operators and participants say the claims about HFT are grossly exaggerated.

“The current debate is overly emotive and in many areas not particularly well informed. There needs to be a focus upon the trading strategies being pursued, and not the technology being employed,” Chi-X chief executive officer Peter Fowler said.

One industry source, who asked not to be named, agreed.

“All HFT is not bad,” he said. “That is just crazy. Saying HFT is front running is a big stretch because all of the HFT firms that I have spoken to don’t have any clients, they use their own money. To front run a client order you have to have client orders in the firm. All they are doing is taking public signals from the market.”

While the Australian Financial Markets Association welcomed ASIC’s proposals to improve sharemarket integrity, many brokers argue that the changes will only add to the heavy compliance costs already facing the industry.

“Our members are reporting that this is affecting employment in the industry and the competitive positioning of the industry within the region. With this in mind the importance of a proper cost-benefit analysis of any proposals in relation to the Australian market has never been higher,” AFMA said in a submission to ASIC on Monday.

Compared to elsewhere in the Asia Pacific region, brokers say that Australia is becoming a less attractive destination for investment banks because of the regulatory crackdown.

The cost of execution elsewhere in Asia is significantly cheaper than Australia,” one source said.

“If you look at us relative to Asia Pacific we used be one of the easiest markets from a regulatory perspective and we are not getting towards one of the most complicated,” he said.

ASIC’s regulatory overhaul is estimated to be costing the industry close to $100 million over four years. It is unclear whether that amount will be increased to allow for the introduction of new rules.

On Monday ASIC released proposed new rules on automated trading, which are designed to help protect traders against disruptions caused by HFC and algorithmic trading.

Supporters of the HFT system argue it results in greater market liquidity and lower fees, something the Australian Securities Exchange is not happy about.

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anonymous

August 30th, 2012 at 4:46 am

transaction tax on each trade

HFT must hold position for at least 1 second (you still have material liquidity for investors)

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anonymous

August 30th, 2012 at 4:49 am

High-frequency trading: is faster better?

http://www.afr.com/p/opinion/high_frequency_trading_is_faster_VjmktmRKcOLmsNOKZkoYWN

Jennifer Hewett

The fight over the pros and cons of the growing use of high-frequency trading in the Australian market is getting serious in public as well as in private.

The consultation paper put out by the Australian Securities and Investments Commission this week is part of the official response suggesting the need for greater safeguards to be introduced as a matter of urgency.

Leading fund managers are loudly calling for much greater regulation of HFT even as investment banks are keen to point out the benefits of greater efficiency and liquidity.

The issue will undoubtedly get another workout today during ASX Ltd’s announcement of its results via the views expressed by chief executive Elmer Funke Kupper.

But the pithy comments made by Perpetual’s Matt Williams to The Australian Financial Review this week demonstrate the extent of concern in the market. He calls HFT “at best front running of real client orders and at worst market manipulation’’.

Bell Potter’s Charlie Aitken was even more scathing in a recent note to clients: “Every minute of every hour of every day of every week, Australian superannuants are being ‘scalped’ by high-frequency traders,’’ he complained.

High-frequency trading basically comes from allowing investment banks to pay to install highly sophisticated computers and fat pipes within the exchange to get instant access to patterns of trading. The method relies on advanced mathematics and engineering skills to get slightly ahead of the market in knowing when a “buy” or “sell” order is coming.

The speed of this automated trading is such that the blink of an eye is like an hour in computer time. The profits come from trading in and out of a stock in nanoseconds. Each trade may not be worth much but it’s the cumulative effect that is so powerful and, according to its many critics, so disruptive of an orderly or fair market. Much of the antagonism about HFT comes from the belief that technology is being used for unfair advantage for those insiders able to exploit it.

This makes “ordinary’’ retail investors even more cynical that the system is gamed against them, meaning they have less interest in investing in equities.

Frustrated smaller brokers tell stories of trying to put in buy or sell orders for private clients and seeing the price move instantly and inappropriately against them as computers see the pattern and beat the “real’’ order.

“Try explaining that to a private client,’’ laments one. “The American investment banks are infecting our system and reducing market integrity.’’

Not that the retail client market for equities would be that terrific anyway given the general nervousness about the world. Defenders of HFT suggest smaller brokers want something to blame for their problems and HFT makes a handy scapegoat.

However, what is clear is that the regulators, too, are growing concerned about the possible impact of rapidly increasing volumes of HFT. In the US, HFT now accounts for about 70 per cent of trades. In Australia, it’s more like 20 to 25 per cent on the ASX and 50 per cent on its very small competitor, Chi-X – which has 3 per cent of the market.

Greg Yanco from ASIC told a Financial Services Council conference last week that it “would not be a good thing’’ if HFT in Australia rose to US levels.

The investment banks involved in HFT argue, naturally enough, that ever faster technology is both inevitable and efficient and that it improves market liquidity.

The question bothering ASIC is whether that liquidity is real given it’s all about trading volume and declining order sizes rather than investment in any traditional sense.

It offers increased activity – but to what end? The idea is for high-frequency traders to exit the market as they started. With nothing. They just go along for the (very short) ride and jump off.

Yanco said the jury was still out in terms of costs versus benefits. But he did question the impact on what he called market quality as well as the ultimate impact on capital raising. He asked whether this might in fact increase the cost rather than decrease it.

Such concerns lie behind ASIC’s new interest in greater regulation, including the potential use of pre- trade filters to detect and filter out orders and clients that could have extreme effects on the market.

It’s also looking at “kill switches’’ or even “chill switches’’ to allow computers and orders to be limited or shut down if they trade beyond an extreme range.

The chances of this were reinforced by the recent debacle involving US trading firm Knight Capital that distorted trading for almost 150 stocks on Wall Street. It took 30 minutes for the kill switch to be pushed, at a cost to the firm of $440 million.

It is yet more evidence that for all the faith in technology, computers operating beyond human control don’t eliminate risk, and speed only magnifies the potential for things to go wrong. Buyer, or seller, beware.

jhewett@afr.com.au

Avatar

anonymous

August 30th, 2012 at 11:23 pm

what’s with all the HFT articles, haven’t all these issues been looked at already or are we now just re-hashing the world again n again.

Avatar

anonymous

August 31st, 2012 at 1:14 am

High-frequency trading: is faster better?

http://www.afr.com/p/opinion/high_frequency_trading_is_faster_VjmktmRKcOLmsNOKZkoYWN

Jennifer Hewett

The fight over the pros and cons of the growing use of high-frequency trading in the Australian market is getting serious in public as well as in private.

The consultation paper put out by the Australian Securities and Investments Commission this week is part of the official response suggesting the need for greater safeguards to be introduced as a matter of urgency.

Leading fund managers are loudly calling for much greater regulation of HFT even as investment banks are keen to point out the benefits of greater efficiency and liquidity.

The issue will undoubtedly get another workout today during ASX Ltd’s announcement of its results via the views expressed by chief executive Elmer Funke Kupper.

But the pithy comments made by Perpetual’s Matt Williams to The Australian Financial Review this week demonstrate the extent of concern in the market. He calls HFT “at best front running of real client orders and at worst market manipulation’’.

Bell Potter’s Charlie Aitken was even more scathing in a recent note to clients: “Every minute of every hour of every day of every week, Australian superannuants are being ‘scalped’ by high-frequency traders,’’ he complained.

High-frequency trading basically comes from allowing investment banks to pay to install highly sophisticated computers and fat pipes within the exchange to get instant access to patterns of trading. The method relies on advanced mathematics and engineering skills to get slightly ahead of the market in knowing when a “buy” or “sell” order is coming.

The speed of this automated trading is such that the blink of an eye is like an hour in computer time. The profits come from trading in and out of a stock in nanoseconds. Each trade may not be worth much but it’s the cumulative effect that is so powerful and, according to its many critics, so disruptive of an orderly or fair market. Much of the antagonism about HFT comes from the belief that technology is being used for unfair advantage for those insiders able to exploit it.

This makes “ordinary’’ retail investors even more cynical that the system is gamed against them, meaning they have less interest in investing in equities.

Frustrated smaller brokers tell stories of trying to put in buy or sell orders for private clients and seeing the price move instantly and inappropriately against them as computers see the pattern and beat the “real’’ order.

“Try explaining that to a private client,’’ laments one. “The American investment banks are infecting our system and reducing market integrity.’’

Not that the retail client market for equities would be that terrific anyway given the general nervousness about the world. Defenders of HFT suggest smaller brokers want something to blame for their problems and HFT makes a handy scapegoat.

However, what is clear is that the regulators, too, are growing concerned about the possible impact of rapidly increasing volumes of HFT. In the US, HFT now accounts for about 70 per cent of trades. In Australia, it’s more like 20 to 25 per cent on the ASX and 50 per cent on its very small competitor, Chi-X – which has 3 per cent of the market.

Greg Yanco from ASIC told a Financial Services Council conference last week that it “would not be a good thing’’ if HFT in Australia rose to US levels.

The investment banks involved in HFT argue, naturally enough, that ever faster technology is both inevitable and efficient and that it improves market liquidity.

The question bothering ASIC is whether that liquidity is real given it’s all about trading volume and declining order sizes rather than investment in any traditional sense.

It offers increased activity – but to what end? The idea is for high-frequency traders to exit the market as they started. With nothing. They just go along for the (very short) ride and jump off.

Yanco said the jury was still out in terms of costs versus benefits. But he did question the impact on what he called market quality as well as the ultimate impact on capital raising. He asked whether this might in fact increase the cost rather than decrease it.

Such concerns lie behind ASIC’s new interest in greater regulation, including the potential use of pre- trade filters to detect and filter out orders and clients that could have extreme effects on the market.

It’s also looking at “kill switches’’ or even “chill switches’’ to allow computers and orders to be limited or shut down if they trade beyond an extreme range.

The chances of this were reinforced by the recent debacle involving US trading firm Knight Capital that distorted trading for almost 150 stocks on Wall Street. It took 30 minutes for the kill switch to be pushed, at a cost to the firm of $440 million.

It is yet more evidence that for all the faith in technology, computers operating beyond human control don’t eliminate risk, and speed only magnifies the potential for things to go wrong. Buyer, or seller, beware.

Avatar

anonymous

September 1st, 2012 at 6:03 am

again with the repetitive HFT articles, is jack alive or is censorship over now ?

Avatar

anonymous

September 1st, 2012 at 7:07 am

issues may not have been looked at enough; far from being reseolved

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anonymous

September 1st, 2012 at 1:56 pm

Today’s Mad ‘Manipulated’ World Of Markets; Or “How To Fit 2 Seconds Of Trading Into 1 Millisecond!”

http://www.zerohedge.com/news/todays-mad-manipulated-world-markets-or-how-fit-2-seconds-trading-1-millisecond

We noted earlier that something looked fishy into the close today – our so-called ‘tickle-algo’ appeared evident – but without the superlative HFT data that Nanex has, we had no way to know just how berserk things were. Here, for your viewing pleasure (with a hidden message) is the last 1 millisecond of trading in SPY today – a period in which as much trading data (quotes and trades) that would fit in two seconds of ‘pipe’ was blasted through the exchange networks. Nanex’s ‘Whac-a-mole’ algo in all its glory – as they note “this has the strong odor of manipulation.”

Nanex ~ 31-Aug-2012 ~ Whac-A-Mole in SPY
Whac-a-mole in SPY at the close on August 31, 2012. About as much trading data (quotes and trades) that would fit in 2 seconds of pipe, was blasted through the exchange networks in the last millisecond of the day. We estimate about $1 billion of SPY and 75,000 eMini contracts traded. The wild oscillations that are shown on the chart between 16:00:00 and 16:00:02 actually happened in the last millisecond of the trading session. Why the trades oscillate like that, we’ll never know, but it has the strong odor of manipulation. And this event has happened before.

Charts below show the bid/ask spread (shaded) and trades (dots) color coded by exchange. For clarity, not all charts show all exchanges.

COMMENT IN FORUM: (by Everyman)

“All the needs to occur is to sabotage the 4 cell tower systems from chicago to NY. Just start taken out nodes via power interruption, knock off a few of the emitters off the towers, or have an “accident” some how. We know the routes, they were published in bloombergs piece about HF Trading and the cell microwave tower systems AND their data transfer rates. Must be something that can scramble the system.

IF it is their pennies and trades the never happen, or our market, I vote for our market.

This is the “Matrix”.”

Interesting comment. I wonder what the spread would be if this occurred? Companies stealing code off each other……wont be to long before companies seek alternative forms of competitive advantage.

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anonymous

September 1st, 2012 at 4:56 pm

‘issues may not have been looked at enough; far from being reseolved’

issues have been looked at too much details and too many times now, resolution in this case might never come and piece meal approach of increasing regulation, high freq lobbying would take its slow moving course, posting the same issues over and over again on this forum is not going to change that path.

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anonymous

September 1st, 2012 at 5:01 pm

‘Interesting comment. I wonder what the spread would be if this occurred? Companies stealing code off each other……wont be to long before companies seek alternative forms of competitive advantage.’

you know it’s not as exciting, glamorous or mysterious as you make out to be.

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anonymous

September 2nd, 2012 at 12:00 pm

HFT firms are rent seekers

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anonymous

September 2nd, 2012 at 12:26 pm

in case anybody wants to know more,

http://en.wikipedia.org/wiki/Rent-seeking

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anonymous

September 2nd, 2012 at 1:48 pm

‘HFT firms are rent seekers’

no, they provide liquidity at their risk and are compensated for this, so they create value

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anonymous

September 4th, 2012 at 10:52 am

value of HFT is not proportional to the ‘liquidty’ benefit for market participants. ie cost well exceeds the benefit. ie rent seekers

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anonymous

September 4th, 2012 at 11:25 am

@1:48

“Advocates argue that it provides liquidity. It adds as much liquidity as our Weet Bix example. Liquidity comes from a participant bringing either stock or cash to the market – HFT brings neither. Hedge funds and investment banks can act as market makers without needing to do it at light speed. Market makers stand in the market as buyers or sellers, HFTers stand in the middle of a trade that would have occurred anyway. Market makers provide liquidity, HFT provides diddly squat.”

http://blog.walnutreport.com.au/high-frequency-shopping/

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anonymous

September 4th, 2012 at 11:27 am

High frequency shopping

http://blog.walnutreport.com.au/high-frequency-shopping/

Imagine you are in Woolies doing the grocery shopping. You look at your Woolies IPhone App and it tells you need some Weet Bix, priced at $5.49, so you wander in the direction of the cereal aisle to grab a packet.

When you arrive at the shelf a funny thing has happened. The Weet Bix price ticket now says $5.51. ‘Strange’ you think to yourself, but you don’t worry too much. It’s only 2 cents after all.

What you don’t know is that a clever bunch of computer geeks have developed a high performance computing system which enables them to track your IPhone usage, quickly buy them from Woolies at $5.49, and relist them for sale to you at $5.51.

‘High frequency shopping’ they call it. The geeks have invested a tonne in the computer system and are paying big bucks to Woolies for the license to operate it on their premises. Both parties insist that it is a ‘free market’ and that they are providing liquidity to the market for Weet Bix. Everyone’s a winner!

As a customer, I’m not convinced. I heard the bit that went ‘blah, blah, blah, free market, liquidity’. Maybe I’m a bit slow on the uptake and I don’t really understand just how good liquidity is for me, but I’m pretty certain the result of all this is that I just paid 2 cents more for my Weet Bix than I needed to.

Fortunately Woolies won’t be doing a deal with the computer geeks anytime soon. Why? Because if they do I’ll be shopping at Coles and, in all likelihood, so will the rest of their customers. Whilst I appreciate the genius of the computer programming and respect the right of Woolies to operate their business in the way they see fit, I also respect my right to tell them to stick it.

This is the problem with the ASX continuing to allow high frequency trading, the sharemarket equivalent of clipping the ticket on our hypothetical Weet Bix purchase. Every trade put through the market is subject to being clipped by a ‘speed of light’ computer (owned by a hedge fund or investment bank) hooked into the ASX system that is able to ‘front run’ your real trade. You thought you could buy a share at $5.49 but, before your trade could make it to the end of the fibre-optic cable, the offer price has moved to $5.51.

There’s good money to be made by both the participants and the ASX (which charges them juicy licensing fees for the best access) but the whole thing, whilst incredibly clever, is ridiculous. In any other context it would be laughable.

Advocates argue that it provides liquidity. It adds as much liquidity as our Weet Bix example. Liquidity comes from a participant bringing either stock or cash to the market – HFT brings neither. Hedge funds and investment banks can act as market makers without needing to do it at light speed. Market makers stand in the market as buyers or sellers, HFTers stand in the middle of a trade that would have occurred anyway. Market makers provide liquidity, HFT provides diddly squat.

The faux-libertarians (my pet name for those who only use free market arguments when it works in their favour) like to argue that it is the ‘free market’ in operation. ‘Anyone can invest millions of dollars in a computer system and ASX fees’ and join in is the argument. That’s all well and good but the problem is that retail investors (and issuers) can’t opt out of being on the other side of it.

Share trading is not a free market. It is heavily regulated and the ASX has a near-monopoly over it. You can’t (morally, at least) regulate investors into having to act in a certain way and then argue the ‘free market’ as you put your hands in their pockets.

ASX, through its CEO Elmer Funke Kupper, warned in today’s Australian of the ‘dangers in changing the market structure’. The main danger, of course, would be to the profit of both ASX and HFT participants. ‘Dark pools’ (as non-ASX trading is called) threatens to keep money in the pockets of fund managers and their investors, at the expense of the HFTers and ASX.

There’s been a huge amount of press on this issue recently. John Durie devoted most of a back page to it (again in today’s Australian) where he curiously said that it was ‘not front running in the traditional sense’. I assume what he actually meant was that it was front running done differently to how they did it in the good old days.

To me that would be the end of the matter. If we’ve accepted that front running is no good, the method for achieving it is somewhat irrelevant. Ban it. Move on.

But that runs the risk of the regulators getting bogged down in inquiries, submissions and a myriad of self-serving, bogus arguments. There is an easier way.

If we accept the proposition that the sharemarket is there to facilitate the flow of capital between issuers and investors, why don’t we simply ask them? There’s no need to get bogged down in the all arguments as to why it’s right or wrong and no need to deal with a bunch of submissions by those trying to protect their patch.

One form to issuers and investors simply asking the question ‘Do you want High Frequency Trading? YES or NO?’ would suffice. Votes could be weighted according to average end of day balances over the course of the last year and that would be the end of the matter.

Unlike our shopping example, customers in this case don’t have the opportunity to take their business elsewhere. The danger is that, instead of the HFT model being killed by the customers, they lose confidence in the entire industry and the overall sharemarket suffers as a result. Let’s let the customers decide what they want on this issue and move on to more important things than the necessity for being able to trade shares by the nano-second.

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anonymous

September 4th, 2012 at 11:39 am

Agree. Let the customers decide. or transactiontax. You get the liquidty but the at least the margin does not towards some algo traders second ferrari. I think labour need to focus on the the HFT Trading Tax instead of the MRRT; at least miners are creating real value.

Investing is about directing capital to where it best needs to go. Achieving so called ‘liquidity’ is not relevant. If my bid or offer price is not met then I adjust my price or wait until the market meets that price. Having an intermediary syphon off a percentage of my money for the ‘benefit’ of excuting that trade in a nano-second is a hollow argument. Also where you want ‘liquidty’ as an investor for small cap low volume companies where there is not much movement there isnt a HFT trader to be seen.

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anonymous

September 4th, 2012 at 11:42 am

Yep. Its the quality of the liquidity. Most pro-HFT always revert to this word without any qualification – like it defeats all arguments. Regulate.

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anonymous

September 4th, 2012 at 12:29 pm

‘Advocates argue that it provides liquidity. It adds as much liquidity as our Weet Bix example’

I insist that HFT have positive contribution to society and create value, adding liquidity means also participating in the price discovery process and thus making prices fair by systematically eliminating small inefficiencies.

Moreover, it is a matter of fact that spreads and transaction costs decreased due to HFT as well as volatility. Those who still think that HFT trading increases volatility should consider that this cannot be true, since HFT profit from volatility if they could control it then their profits would converge to infinity, so using http://en.wikipedia.org/wiki/Reductio_ad_absurdum we just mathematically proved that HFT reduces volatility and thus market risk.

But there are plenty of frustrated investors in these days which just need to find a reason for their mystery and blame HFT…

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anonymous

September 4th, 2012 at 12:59 pm

Nice use of Reductio ad absurdum :) But this does not account for how HFT is used in practice and the variou strategies that distort the market and “whack” the price up or down. The fact is HFT creates an unfair advantage with a speed that is unnecessary for market to function. Regulate, transaction tax and eliminate flash orders.

I think the price discovery mechanism is an extension of a transparent and fair market. When HFT unregulated implement such strategies price discovery is distorted. Price discovery should reflect the sum of all information in the market but more importantly the value (in terms of dividends if your an investor) of that security not some abstract influence that moves the price up or down as a manipulative strategy or counter manipulative strategy operating against a competing algo. This is where the danger lies. Regulate.

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anonymous

September 4th, 2012 at 1:05 pm

Thats what it comes down to. HFT not properly regulated increases market risk for very little real value in quality liquidity.

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anonymous

September 4th, 2012 at 1:10 pm

if you see two assets which should have the same price but have not, the fastest will take advantage of this. This will also be the case if you regulate more. Arbitrageurs make markets fair. Do you want to block such trades? Or limit the speed of such trades? Whom should benefit from such restrictions? All have the same access to speed in our days, so there is no advantage for any category. The only advantage is know-how, as it is in many other areas.

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anonymous

September 4th, 2012 at 1:41 pm

Transaction tax increases the cost of running trades. This reduces whacking and bullying up or down prices and distortions not related to fundemental value. HFT strategies using their speed advantage to distort the market.

“All have the same access to speed in our days”

INCORRECT – not all market particpants have access.

Most market particpants can access the market with minimal cost ie accessability (anyone with an internet connection) can lodge an order within minutes (i.e a reasonable speed). Why should an ultra small section of that market syphon off money for nano-second liquidity?

All arbitrageurs rely on volume of participation in the market. Right now there is very little confidence in the market by large instutional investors because of HFT front running and distortions they create (ie flash crash) when colliding with other code.

The soultions need to revolve around slowing it down where the broad market particpate with confidence and/or making it expensive for HFT to lodge multiple dummy or otherwise orders.

I accept Arbitrageurs exist but not at these speeds and not by distorting the market. There is a solution a middle ground if you will but as hard as it might be to accept for pro HFT less profits and one less ferrari or diamond necklace fpr the missus.

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anonymous

September 4th, 2012 at 8:20 pm

man you have no clue of what you are talking about

‘INCORRECT – not all market particpants have access’

just go browsing and you’ll find lots of low latency providers which offer colocation at ridiculous low fees

‘This reduces whacking and bullying up or down prices and distortions not related to fundemental value’

there is not such a thing as objective fundamental value, that’s why there are exchanges to build up prices, do you know how trading works? If everybody would have the same notion of fundamental value there would be no transaction

‘because of HFT front running’
in trading you only make money by front running, the question is if you are using public information available to everybody, HFT are probably the only players who use only public information, manual traders get tips by brokers, who skrew up their customers… over the counter trading is the most intransparent trading

‘I accept Arbitrageurs exist but not at these speeds’
So they should slow down and wait? How should that happen in practice? If you see a 100$ note on a street full of people, are you waiting 1 hour before picking it up?

Your comments show that you simply do not understand how trading works

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anonymous

September 4th, 2012 at 8:40 pm

“… a high performance computing system which enables them to track your IPhone usage …”

Are you saying here that high-frequency traders know about orders even before the exchange is able to match them? Sounds like a fucking bollocks analogy to me.

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anonymous

September 5th, 2012 at 2:58 am

@ 8:20pm. Thanks for your reply and input.

‘Your comments show that you simply do not understand how trading works’

I find this site often brings it back to this point. Implying that if you are not pro HFT as a perfect functioning system without faults then I clearly don’t understand, or I have no clue. But perhaps you missed my point and I did not communicate it clearly enough? My views do matter. Everyday market participants views matter because volume matters to the market and incidentally HFT profits. And if a mass of participants don’t have confidence in the market guess what…you don’t have market. Its the very fact that HFT and its role is made out to more complex than it needs to be you will have the volume of participants withdraw or resort to over the counter.

That is why in addition to other distortions in the market the last several years (MF Global, Knight, PGF, et al) that you will have participants withdrawing from the market or to mechanisms that reduce price discovery like dark pools and over the counter trading. Simply, I don’t think that it is good for wealth creation or market integrity. On face value the way HFT currently operates (and some of the manipulative strategies) does not seem conducive to a free and fair market.

WRT your reply about ‘front running’ and market information. Most market participants take a position which moves the market based on (or should) whether that company will produce or make something in the future for a profit. HFT is not concerned about this (and see my points above about the quality of the so-called liquidity and relevance or nano-second liquidity) because it is in and out before that matters. That’s what annoys a lot of market participants. Not taking a position and harvesting money out of the system based on 1 source of competitive advantage – SPEED. Markets are and always should be imperfect, a culmination of information inputs and social creatures based on FEAR. Fear of losing money. If a transaction tax was applied that FEAR would also apply to HFT. Because if some trades don’t work out for them – you lose (beyond fixed, operating costs and RnD) And the market would start to represent value and price discovery. And as it should because HFT has something to fear when entering that market.

All systems can be improved and clearly you have identified a weakness such as over the counter as a response to HFT. There are some smart guys out there within HFT firms (like yourself?) who know how it works better than me: SOLUTIONS?

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anonymous

September 5th, 2012 at 5:01 am

‘no, they provide liquidity at their risk and are compensated for this, so they create value’

no they compete with each other to provide liquidity and are compensated as there isn’t enough competition out there. the barriers to entry and fixed costs are rather steep you know.

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anonymous

September 5th, 2012 at 9:36 am

Barriers to entry and fixed costs are really not that steep. With a few million in capital you can be up and running and HFT all you want.
Setting up an iron ore mine or an airline, those are businesses with barriers to entry and high fixed costs. HFT definitely is not.
Have you ever noticed how many HFT firms, some with no more than a few people, have been set up in recent years?

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anonymous

September 5th, 2012 at 9:46 am

@9:36 Have you noticed how many of them subsequently had to close shop?

The barriers to entry are very real but they’re not to be found in the upfront investments you need to make. (Hell, call Orc or Actant and see what kind of deal you can get as a starter).

The barrier to entry lies in the fact that you have to do a hell of a lot of volume at the spreads currently available to be profitable. If you’re not doing the volume, you’re going to get shafted by your exchange, by your clearer and by your funder.

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anonymous

September 5th, 2012 at 10:43 am

@2.58 I think cases like this have a way bigger impact on the average investor than HFT will ever have:

http://www.smh.com.au/business/regulator-eyes-millionaires-factory-20120905-25dpl.html

A few quotes: “The Australian Securities & Investments Commission secured evidence from an internal report at Macquarie Private Wealth, which found more than 80 per cent of the division’s private client advisors were in breach of compliance standards.”

“The first big case was AMP in July 2006 when ASIC found 93 per cent of all client funds administered by AMP financial advisors had been funnelled into AMP products.”

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anonymous

September 5th, 2012 at 11:57 am

@10:43 Thankyou for your input. I agree they have an impact. Whether or not it is greater than the overall systemic impact of HFT that would be difficult for anyone to prove. But it is all part of the collective negative narrative being created by financial services; and the mass market participants are withdrawing (if they can).

Applying a subjective assessment I would contend that the impact of HFT through colliding code (or whatever assessment you make on what caused the flash crash; and notwithstanding the so called ‘circuit breakers’ in place) or when HFT reaches a tipping point of trading volume (DOW JONEs 70% and ASX approx 40% or thereabouts) when code is just watching and reacting to other code that’s when the market ceases to function as per its original purpose (see my comments above about FEAR). So compared to your example I would suggest likelihood would be MODERATE to LOW of institutional investment companies involved in this behaviour (and accepted it is also difficult to get optics within companies) and impact HIGH on individual investors invested with those individual firms.

Compared to HFT regulators optics on HFT firms if required could be quite good through monitoring exchange activity (implementation of a transaction tax would not be that complicated in this regard). The likelihood of a catastrophic systemic impact (and therefore the average investor/market participants) I would suggest is LOW to MODERATE however the impact is VERY HIGH. Overall risk is therefore VERY HIGH and where the priority of regulatory resources needs to be to address this.

More-over on a day to day level harvesting wealth out of the system by intercepting bid and offer orders in nano-seconds is part of business model in HFT and within the industry accepted behaviour. I would suggest as per your article that the practices of Macquarie Bank are not at least in a transparent sense the accepted business model and therefore the impact is dependent on whether that firm engages in this behaviour and only impacts investors with that firm only.

BTW not a great fan of Maq Bank. Pre-2007 they were one shade away from operating on the leveraged buyout model hunting for infrastructure carcasses.

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anonymous

September 5th, 2012 at 12:25 pm

Mate, just go away, go play with your Etarde account or whatever. No one cares.

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anonymous

September 5th, 2012 at 2:35 pm

‘value of HFT is not proportional to the ‘liquidty’ benefit for market participants. ie cost well exceeds the benefit. ie rent seekers’

how are you calculating costs and benefits, market takers pay up to market makers, if the barriers to entry is high for market maker, the dominant players are going to take up more of the consumer surplus, nothing more complicated, it’s like any other oligopoly.

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anonymous

September 5th, 2012 at 3:06 pm

‘I insist that HFT have positive contribution to society and create value, adding liquidity means also participating in the price discovery process and thus making prices fair by systematically eliminating small inefficiencies. ‘

lol, I insist that you sir have a biased agenda, for no fault of your own.

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anonymous

September 5th, 2012 at 3:11 pm

‘Those who still think that HFT trading increases volatility should consider that this cannot be true, since HFT profit from volatility if they could control it then their profits would converge to infinity, so using http://en.wikipedia.org/wiki/Reductio_ad_absurdum we just mathematically proved that HFT reduces volatility and thus market risk.’

No, actually HFT makes money either ways, less money in less volumes/volatililty, more money in more volumes/volatility, there is no defined function for profits in terms of volatility and volumes as this is function of other market participants which is ever changing.

Since HFT is the market maker and no one else, during panic they withdraw the quotes and any panic stricken market taker ends up paying too much for execution and thus higher profits for HFT, they don’t create panic but they are direct contributors to the cost of execution during the panic.

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anonymous

September 5th, 2012 at 3:13 pm

‘But there are plenty of frustrated investors in these days which just need to find a reason for their mystery and blame HFT…’

its not ‘a reason’, there are several reasons, HFT is but one of them.

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anonymous

September 5th, 2012 at 5:53 pm

‘No, actually HFT makes money either ways, less money in less volumes/volatililty, more money in more volumes/volatility, there is no defined ‘

low volumes and low volatility can cause losses to HFT firms, why do you think getco is downsizing staff? There is still the wrong assumption that HFT firms always make money, that’s false. And by the way, you just defined a qualitative relationship between volatility and profitability which makes the previous argument valid

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anonymous

September 5th, 2012 at 7:46 pm

‘low volumes and low volatility can cause losses to HFT firms,’

yes if the fixed cost is too high, just like any other business, but it doesn’t mean that variable revenue doesn’t cover variable cost, also if the firm decides that trading is not for them and starts an execution business, then that firm is no longer HFT and would have to downsize and exit the business, nothing wrong with that, the profits from HFT have come down from peak of 7.2bn to 1.4 bn currently, clearly some companies would have to exit, but that is due to high fixed cost, not variable losses on daily basis.

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anonymous

September 5th, 2012 at 7:49 pm

‘There is still the wrong assumption that HFT firms always make money, that’s false.’

Agreed, if you bid up too aggressively, you would have to pay up to get out, but nobody is putting a gun to head to bid that aggressively, it’s purely discretionary.

‘And by the way, you just defined a qualitative relationship between volatility and profitability which makes the previous argument valid’

the discussion is not to make the other argument look incorrect, i could be incorrect myself, this is a very humbling business we are in, so the point is to look at the situation correctly, not to show off my giant dick.

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anonymous

September 5th, 2012 at 7:53 pm

‘if you see two assets which should have the same price but have not, the fastest will take advantage of this.’

‘should’ is big stat arb assumption my friend.

‘The only advantage is know-how, as it is in many other areas.’

what other know-how are you hiding up your arse dear sir

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anonymous

September 5th, 2012 at 8:34 pm

‘in trading you only make money by front running’

eh?

‘the question is if you are using public information available to everybody, HFT are probably the only players who use only public information’

okay, so HFT are able to source and use the public information to their advantage, with such high barriers to entry, shouldn’t there be some more anti-monopoly regulation or transaction tax since there is really no need to have so much of physical and intellectual capital for supposed capital markets liquidity

‘manual traders get tips by brokers, who skrew up their customers… over the counter trading is the most intransparent trading’

one wrong doesn’t maketh the other wrong right.

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anonymous

September 5th, 2012 at 8:36 pm

‘How should that happen in practice?’

Retail are expected to pay 50bps stamp duty on stock trades, applying same threshold to market makers would be good start.

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anonymous

September 5th, 2012 at 8:36 pm

this is UK stamp duty tax btw.

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anonymous

September 5th, 2012 at 8:37 pm

‘Are you saying here that high-frequency traders know about orders even before the exchange is able to match them? Sounds like a fucking bollocks analogy to me.’

what do you think reading order book is all about?

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anonymous

September 5th, 2012 at 8:37 pm

or for that matter reading the tape

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anonymous

September 5th, 2012 at 8:57 pm

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anonymous

September 5th, 2012 at 9:17 pm

“what do you think reading order book is all about?”

Well if you bid $5.49 for your Weetbix in the first place you get set at that price. On the other hand, if you walk into the store with a megaphone announcing your intentions, then you’ve only got yourself to blame for paying $5.51.

Same for the stock market: if you tell everyone about your massive order before you actually put it in the market, I’ll “front run” you until the cows come home because you are an idiot. It’s not like I’m a broker front-running a client order – that shit is illegal.

I think your problem with HFT is that the machines are learning enough about your behaviour to be able to read your mind. The solution is to STOP BEING SO FUCKING PREDICTABLE. Mix it up a bit; you’ll confuse the fuck out of the machines.

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anonymous

September 5th, 2012 at 9:51 pm

‘shouldn’t there be some more anti-monopoly regulation or transaction tax ‘

no, if you do this you kill the whole HFT industry, margins are very low so a transaction tax will only have the effect of eliminating HFT, with the consequence of having less fair prices, less liquiity, higher spreads, and more exchange fees (as also exchanges need to recover the lost commissions made from HTF firms). Conclusion: markets will be worse for everybody, no player will gain anything from this, not even institutional pension funds

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anonymous

September 5th, 2012 at 9:56 pm

‘Mix it up a bit; you’ll confuse the fuck out of the machines.’

what do you think slicing the execution size/time is all about, or is there some other advanced HFT technique you got hidden up your ahole?

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anonymous

September 5th, 2012 at 9:57 pm

btw, filling up bids while trying to sell your shit is also illegal, so don’t tell me that’s how you are mixing it up these days.

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anonymous

September 5th, 2012 at 10:01 pm

‘with the consequence of having less fair prices, less liquiity, higher spreads, and more exchange fees (as also exchanges need to recover the lost commissions made from HTF firms)’

that’s what you are stating, because of your biased agenda, for no fault of your own.

‘as also exchanges need to recover the lost commissions made from HTF firms’

its better to have direct costs, then have exchange lower their direct costs only to make it up by hft commisions which are of course indirectly stolen out of exchange flow, what, are you high?

‘Conclusion: markets will be worse for everybody, no player will gain anything from this, not even institutional pension funds’

are other people allowed to derive their own subjective conclusions?

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anonymous

September 5th, 2012 at 10:02 pm

Let me give you an alternate conclusion – HFT would be out of operation, all the physical and intellectual capital would come out of this business and nobody would miss it pretty much, have a wonderful life.

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anonymous

September 5th, 2012 at 10:05 pm

‘are other people allowed to derive their own subjective conclusions?’

well my claims are objective facts, do your research first or at least try to give some reasonable justification for your “subjective” conclusions as regulators will not act based on groundless statements

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anonymous

September 5th, 2012 at 10:21 pm

‘are other people allowed to derive their own subjective conclusions?’

Apparently that’s the privilege of people arguing against HFT.

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anonymous

September 5th, 2012 at 11:06 pm

‘well my claims are objective facts’

okay, let me recount your objective facts and you can objectively quantify them –

‘Conclusion: markets will be worse for everybody, no player will gain anything from this, not even institutional pension funds’

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anonymous

September 5th, 2012 at 11:07 pm

‘do your research first’

what research do you want me to do?

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anonymous

September 5th, 2012 at 11:08 pm

‘try to give some reasonable justification for your “subjective” conclusions’

okay let me give some objective conculsions – HFT would be out of operation, all the physical and intellectual capital would come out of this business and nobody would miss it pretty much, have a wonderful life.

‘as regulators will not act based on groundless statements’

regulators are driven by politics in turn driven by lobbying in turn driven by cash

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anonymous

September 5th, 2012 at 11:11 pm

‘‘are other people allowed to derive their own subjective conclusions?’

Apparently that’s the privilege of people arguing against HFT.’

isn’t that the privilege for people dependent on HFT for their livelihood too, come up with subjective bullshit abt supplying liquidity and getting paid for it, well why don’t you pay a little bit of transaction tax and share the booty, just like the poor retail in UK is subject to 50bps stamp duty for all stock trades.

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anonymous

September 6th, 2012 at 2:48 am

Posting that article did create some debate. Its good to see some pro HFT, anti HFT and middle ground on here. Learning a lot. Thankyou.

BTW @12:25pm; what’s an Etarde account? :). And I would objectively conclude that:

“No one cares”

is FALSE. My facts are the last several posts.

Some people care about the role/impact of HFT on both the financial and economic system and are looking at improving it. We are all impacted by this broader system whether we are investing directly in it or not. What you don’t care about (based on your comment) is the bigger picture and how failures in this system both HFT and otherwise impact people’s lives. It was called the Global FINANCIAL Crisis and I believe that HFT is one of those RISK factors (along with many others) that if not properly managed or regulated will be a driver in the next one.

I think HFT can exist with a transaction tax.

Bradley G. Lewis, Prof. of Economics, Union

Thinking About High-Frequency stock Trading and Transactions Taxes on Trades

Two bills (H.S. 3313 and S. 1787) now before Congress would impose a small tax (0.03% of the value of the security) on most purchases of securities and transactions involving derivatives beginning January 1, 2013. There are some exceptions—e.g., no tax on the initial issuance of stock or debt securities, or on trading in debt instruments (e.g., some Treasury bills) that have fixed maturities of no more than 100 days, or to currency transactions. The attempted reach of the tax is significant: it would apply to trading within the U.S. but also to transactions done outside the U.S. if any party to the transaction is a U.S. corporation, partnership, or individual.

While raising revenue is arguably one aim, clearly a major purpose of imposing such a tax is to reduce the profitability of certain strategies that are common in high-frequency trading (HFT), which uses systems that can make trades in milliseconds. Since common strategies using these systems reportedly have profit margins of about 0.01 percent per trade, the transactions tax might eliminate the benefits of these strategies, and possibly the trades themselves.

Would this be good or bad?

To get a preliminary answer to that question, let’s focus on stocks but also acknowledge that both the proponents and opponents are focusing not just on the technical ability of HFT to execute transactions quickly but also on the way in which that speed is currently being used, with impunity.

Why the speed arms race over the last decade? Because the fastest providers can and do in fact use their advantage largely to accomplish a simple result: HTF exists to use information to “cut in front of the lines” of orders queued up for execution, so to speak: at the very least, you can get your transactions milliseconds ahead of others in line and collect what amounts to a tax on those who are slower.

It’s easiest to see this by taking a simple but powerful example: if you know several others have entered buy orders at market price, but their systems are slower to execute than yours, you can buy ahead of them, let their orders push the price up higher, and then, using your superior speed, sell what you just bought at the higher price their orders created and take a small profit. Do it regularly and the pennies add up. And while your HFT system might cost a lot to build and maintain (an estimated $1.2 – 1.6 billion per year reportedly has been spent in the last five years to improve them) extra trades cost you very little: high volume means high profits.

Opponents of the tax argue that by making these trades unprofitable, the proposed transaction tax would simply chase away trading to friendlier venues, reduce liquidity in U.S. markets, and (in some more apocalyptic views), raise the cost of capital to U.S. companies.

That seems a remarkably gloomy forecast for anyone whose aim in buying stock is to hold it for dividends and possible capital gains. To put it in perspective, that transaction tax of 0.03 percent would add less than a penny (to be exact, 6 tenths of a cent) to the cost of acquiring a share of a stock selling for $20. Anyone who puts in a market order for such shares would do so knowing that it might move by a few cents. Even a mutual fund that holds shares for any significant amount of time would, it seems, find that a minor incentive to move traffic overseas. Would this be likely to chase money out of U.S. stocks and thereby raise the cost of capital to U.S. firms? Given the order of magnitude, it seems highly unlikely.

To me, it seems at least equally likely that such a tax might reduce average transactions costs, reduce financial market volatility, and benefit longer-term investors in stock.

Let’s consider what some publicly available facts and simple logic would suggest.

1. Those who use HFT in the ways mentioned are not long-term holders of stock: the strategies only work because they can capture the results of pushing others to the back of the line temporarily, or outguessing other HFT traders by programming and maintaining superior algorithms. Cash flows to pay for the systems alone are high, and while precise amounts attributable to this kind of trading are hard to come by, some information is very revealing. On August 8, 2011, when the Dow dropped 635 points and New York Stock Exchange composite volume was the fourth-biggest on record, an estimate by Tabb Group was that HFT traders made $60 million.

2. At the time, Tabb also estimated that HFT total profits for 2011 would be $5 billion. Record profits in 2009 for HFT, it says, were about $7.2 billion. In October, the New York Times estimated that the profits for HFT firms as a group for 2010 and 2011 combined would be $12.9 billion. I wouldn’t weep for the HFT traders in 2011: $5 – $7 billion profit is a lot of money for a group that doesn’t even want to hold the stock.

3. There are claims that for large stocks, at least, this system provides “better liquidity” because one can easily buy or sell at any time at a price close to the current one. But if buying prices for such investors are routinely pushed up and selling prices routinely pushed down, it seems unlikely they are better off. Recall that the transactions tax would add about 6/10 of a cent to the cost of $20 share of stock. Could the effects of someone pushing the price up or down via HFT strategies be equal to that? It seems possible. At least some of this is a social loss—an extra amount of money for a group playing the equivalent of computer games. Some indeterminate amount, but I suspect nowhere near the total extracted, is a payment for maintenance of liquidity.

4. While the last few years have seen crises and shocks aplenty, it seems highly unlikely that the HFT day traders have reduced volatility. Some evidence suggests that they regularly enter the markets when profits from their strategies are easy to find and exit when they are not. This has little to do with stabilizing the market.

5. The high costs of playing in this market suggest that much of the money is sticking to fewer hands. Some HFT traders use relatively simple systems, but the largest players are the ones making the biggest investments in shaving a few more milliseconds off already short times. Do we prefer ever more concentrated profits if they do not enhance the usefulness of markets?

6. There are common experiences of extra volatility and poor trade execution that turn out to be worse than when HFT was not used. In the long run, HFT seems likely to discourage those who actually are interested in holding stocks for their fundamental value. Discouraging those who normally would hold such stocks certainly would push up the cost of capital for U.S. publicly traded firms.

A transactions tax would not and need not get rid of the quick execution times that are now physically possible, but it would make it much harder to simply trade in and out by cutting to the front of the line.

Could other solutions such as re-regulation or changes to periodic auctions accomplish the same thing? Maybe, but so far neither has happened. Nor have HFT traders regularly been hauled into court so far for what used to be called front-running (or “first look”) and much of the public assumes they won’t be. In the absence of changes on either front, the transaction tax is arguably the best option.

——————————————————————————–

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anonymous

September 6th, 2012 at 5:43 am

“… by cutting to the front of the line.”

” … for what used to be called front-running (or “first look”)”

Can anyone explain the mechanism by which this can happen? Back in my day, we had this thing called “price-time priority”. If you wanted to buy some stock, you joined the queue. If you were impatient, you hit the offer. How does ANYONE – let alone HFT firms – bypass this principle?

I’m still struggling to understand what this whole kerfuffle is about. There is no possible way to front-run an “at market” order – it is executed before anyone even knows about it. If it’s not an “at market” order, then you’ve made your price known, and you have to deal with the consequences.

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anonymous

September 6th, 2012 at 7:40 am

I guess that’s where the difference between a quote driven market and an order driven market comes in.

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anonymous

September 7th, 2012 at 1:15 am

‘How does ANYONE – let alone HFT firms – bypass this principle?’

the magic of sub-penny tick size, you can easily dime anyone.

‘There is no possible way to front-run an “at market” order – it is executed before anyone even knows about it.’

two ways, you get paid the spread and you get shown the hand

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anonymous

September 7th, 2012 at 7:28 am

“the magic of sub-penny tick size, you can easily dime anyone.”

I’m sure you can, but that doesn’t violate price-time priority. Should exchanges increase the tick sizes to combat HFT?

“two ways, you get paid the spread and you get shown the hand”

Market makers get paid the spread, not necessarily HFT firms. Competition in this space naturally increases liquidity. How is this considered HFT behaviour anyway – if you are at the top of the ask queue, you get your order filled. If you can offer a better price, by all means go ahead.

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anonymous

September 7th, 2012 at 8:09 am

Jack, time to shut this thread & block some ips. Maybe repost this dumbnes on some retarded yahoo forum where it belongs.. boo hoo, the big bad hft boogey man can see my order before I send it. Idiot.

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anonymous

September 7th, 2012 at 8:52 am

@8:09

Why are you afraid of debate? Well functioning societies have rules. Markets shoudn’t be any different. These rules should be constantly evolving to keep pace with technological developments ensuring that markets function properly and certainly not to unfairly advantage any particular group or person. Just accept that on the whole thats what this thread has largely been about. Looking at whether the market can function better and whether HFT can/should be regulated as one driver to reduce systemic risk.

If you dont want to engage in this debate fine. You obviously accept the status quo and by extension would be unreceptive to additional rules to regulate this industry even if debate demonstrated changes needed to be made. If there werent any rules in this world well motivated individuals without moral restraint or accepting of the rules could surgically sabotage microwave tower systems or power nodes of HFT companies on the same basis. I wonder if you would boo hoo then because you couldnt make any money.

I welcome any constructive input you have. Given the the Flash Crash, Knight Capital et al against the backdrop of the financial crisis I hardly see the system and HFT operating within that system as stable. Hence changes to the rules and improvements clearly need to be made otherwise, economic and social instability result.

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anonymous

September 7th, 2012 at 11:13 am

Come back when you understand price/time priority.

Until then, you don’t know what you’re talking about.

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anonymous

September 7th, 2012 at 12:57 pm

can you please explain me?

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anonymous

September 8th, 2012 at 4:29 am

‘Should exchanges increase the tick sizes to combat HFT? ‘

unfortunately everyone is dying over heels to get to sub-penny, rbs used to trade at 0.005 pence tick size, lol.

‘Market makers get paid the spread, not necessarily HFT firms’

you think hft and market makers is different, isn’t it all in one these days, high freq mkt making?

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anonymous

September 8th, 2012 at 4:30 am

‘the big bad hft boogey man can see my order before I send it’

who said anything like that, stop making up stuff.

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anonymous

September 8th, 2012 at 4:32 am

‘well motivated individuals without moral restraint or accepting of the rules could surgically sabotage microwave tower systems or power nodes of HFT companies on the same basis.’

yes they might cut the fat pipes going to exchange to unhook HFT

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anonymous

September 8th, 2012 at 6:10 am

I thought I was the lone ranger questioning the validity of how HFT/MM operates.

It appears I am not alone :)

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anonymous

September 8th, 2012 at 8:19 am

I lost track of what was the problem; unfairly advantage? So if my option pricing model is superior to yours because I’m not assuming symmetrical movement you want to forbid me using mathematics? When I want to buying Total because Shell is going up you want to disallow me to buy Total because I can run faster to the shop than you? I don’t see who is harmed, except for the guy who wants to do the same but is worse in doing. The long term investor is not affected. The mid term investor is benefiting. And if you are afraid of machines going berserk or fat fingers, then address exchanges on their responsibility of putting in proper safeties on trading ranges and unusual volume. Knight should have had better safeties but so should have the exchange.

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anonymous

September 8th, 2012 at 8:43 am

@ 4.30am: isn’t that what the whole woolies example was all about?

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anonymous

September 8th, 2012 at 1:04 pm

‘I thought I was the lone ranger questioning the validity of how HFT/MM operates’

why do you sound like one of those people who forgot to grow up?

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anonymous

September 8th, 2012 at 1:09 pm

‘if my option pricing model is superior’

Nobody’s model is superior, trust, excepting maybe the exotic structured market, but that’s not the focus of discussion.

‘because I can run faster to the shop than you? I don’t see who is harmed,’

erstwhile these inefficiencies were one source of profit for general investors but now it’s largely hft, nothing wrong with it, but like all other useless activities in the economy including cigarettes, imposing transaction cost should be a good way to get human and physical capital out of this.

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anonymous

September 8th, 2012 at 1:12 pm

‘isn’t that what the whole woolies example was all about?’

the woolies example talk about stealing pennies from small transaction because hft can read the tape/order book and react faster at sub penny level over huge amount of transaction. The quality of liquidity is highly questionable and of course introduces paranoia regarding showing your hand, thus the dark pools.

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anonymous

September 10th, 2012 at 1:26 am

High Frequency Trading and the New Algorithmic Ecosystem

http://seangourley.com/2012/08/high-frequency-trading-and-the-new-algorithmic-ecosystem/

Financial markets provide liquidity to the world, in today’s society the markets should be considered a public utility something more akin to clean water than the modern day casino that they have become. However financial markets, unlike water, are incredibly complex. Indeed the majority of financial transactions are algorithmic trades made by algorithms or non-human software agents. These trades happen at the sub 600ms time frame, beyond the limits of human decision making.

This type of trading is called high frequency trading, and the world that it inhabits is the new financial ecosystem. There are predatory algorithms, parasitic algorithms, and algorithms that are preyed upon. These algorithms are not smart at the moment, only capable of processing a few bytes of information and generating a few cents per trade. But they are getting smarter. They are now starting to process unstructured news, the kinds of news that humans read, and they are making decisions that can potentially generate more profit.

This high speed algorithmic world is not however isolated from the human time-scales of the world we live in. The instability of micro-second crashes is highly correlated with global macro instability. Indeed the 10 stocks with the most micro crashes were all major financial institutions that had massive volatility on a human time scale. The high frequency financial ecosystem is incredibly important, important perhaps as access to clean water. Yet instability in this system is correlated with instability in the world we humans inhabit. So it is too important to regulate out of existence and too damaging to leave unregulated.

We as a human species must control a system that is beyond the limits of our raw cognitive understanding. To do this we have two choices, we can create software to augment our human abilities. The software equivalent of a robotic exoskeleton to augment our human intelligence . Or we can create fully autonomous algorithmic agents, a new set of algorithmic species, and set them loose into the sub micro second world. Perhaps we can control the system by competing within it. Either way, within the next few years a robot will have read this text, processed it and made a trade before you’ve even got past the first sentence — in another 3 more, the machine will be the one writing the article in the first place.

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anonymous

September 10th, 2012 at 2:16 am

just put a tiny transaction tax and stop posting all these high frequency articles pls.

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anonymous

September 10th, 2012 at 1:05 pm

why a transaction tax? And who should get it? If you want to tax transactions then you should also tax amount of assets under management, so that things between high frequency and low frequency traders are fair. And by the way, the whole financial crisis was caused by “low frequency” trading

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anonymous

September 10th, 2012 at 3:53 pm

and by douchbag property speculators not paying their mortgages.
.

There are already txn taxes on plenty of mkts. Makes no diffrence to realized vol.

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anonymous

September 10th, 2012 at 11:23 pm

‘why a transaction tax?’

to be fair, UK retail pay 50bps stamp duty.

more importantly to tax unproductive activities, like smoking.

‘And who should get it?’

wind down some of the national debt

‘If you want to tax transactions then you should also tax amount of assets under management’

yes you can tax everything under sun, but managing money is integral part of capital allocation, not some bs made believe liquidity.

‘And by the way, the whole financial crisis was caused by “low frequency” trading’

i thought it was caused by massive and unexpected delevering of US housing and financials?

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anonymous

September 10th, 2012 at 11:25 pm

‘There are already txn taxes on plenty of mkts. Makes no diffrence to realized vol.’

what is txn taxes? Kindly don’t derive your own make believe implications on realized vol, we are discussing taxing unproductive part of economy here.

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anonymous

September 10th, 2012 at 11:27 pm

‘i thought it was caused by massive and unexpected delevering of US housing and financials?’

no, read the book The Big Short, it’s all about over the counter trading

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anonymous

September 11th, 2012 at 3:22 am

Seriously Jack, time to shut ‘er down. Starting to sould a lot like a special school right here.

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anonymous

September 11th, 2012 at 9:24 am

‘we are discussing taxing unproductive part of economy here.’
I thought we were discussing HFT… Clearly we’re talking about very different things.

Anyway, if you want to tax Facebook, go ahead (really, it’s the biggest waste of productivity evah)

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anonymous

September 11th, 2012 at 1:38 pm

@3:22 ‘Seriously Jack, time to shut ‘er down. Starting to sould a lot like a special school right here.’

@8:09 ‘Jack, time to shut this thread & block some ips. Maybe repost this dumbnes on some retarded yahoo forum where it belongs.. boo hoo, the big bad hft boogey man can see my order before I send it. Idiot.’

I cant help but think of hypocrisy when I read your comments. This whole forum is about companies operating within the HFT MM space (in the main). These discussions are relevant. I am presuming you work for a HFT company and/or are pro-HFT without limits. (I stand corrected if I am wrong). If that is the case then arguably whilst you think it is fair to operate without little or no restraint as a HFT MM you have no problem asking for the moderator to restrain this thread.

My next question is on what basis? Most of the discussion has been constructive and polite except for your comments.

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anonymous

September 11th, 2012 at 1:40 pm

Attack of the Algorithms

http://www.abc.net.au/radionational/programs/backgroundbriefing/2012-09-09/4242538

“John Abernethy: The share market is a place where businesses are valued. It should be a place where people have confidence that the businesses are fairly valued, based on events—macro and micro. That’s all that should be affecting markets. It should not be affected by computer programs and mathematicians. When you turn on the stock market and make it a game, a casino, you are creating havoc.”

“Terry Bowen: So their business model relies on using better computer technology, which is better predictive algorithms, faster line speeds, effectively trading in nanoseconds to take small amounts of profit on what is billions of dollars of trade. And then you’ve got to ask yourself, ‘Well, who funds this?’ And at the end of the day, some of the high-frequency trading gains have got to be made from the more traditional participants in the market such as the superannuation funds.”

“Bill Shorten: I never forget whose money it is—it’s the superannuant; it’s the mums and dads who own shares. My test is what any of us are doing, is it enhancing the creation of wealth or is it working against it?”

“Stan Correy: Two years later, in Europe, the United States, and in Australia, regulators are still unsure of what to do. Some countries want to impose increased fees on share trades to slow the robots; other regulators, such as in Australia, want to use software filters—similar to the computer programs parents use to stop their kids watching pornography on the internet, only more complex, and this time, to block rogue trading algorithms going crazy on the market.”

“High-frequency trading, HFT, makes the public uncertain of the integrity of the Australian Securities Exchange. Professional stockbrokers such as myself have reduced confidence in the ASX as a result of observing HFT. If an operator manually entered HFT trade types, we would be penalised for manipulative trading. There should not be one rule for man and another for machines programmed by man.”

“Stan Correy: Most high-frequency trading firms don’t like to talk about what they do, but the Dutch firm Optiver has decided that being media-friendly is the best strategy.”

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anonymous

September 11th, 2012 at 3:40 pm

@1:38pm Buddy, this blog used to be industry rumours & in jokes, not main stream media dumbed down news articles. Maybe post less, read more, and importantly, ask questions.

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anonymous

September 12th, 2012 at 1:20 am

‘no, read the book The Big Short, it’s all about over the counter trading’

man Michael Lewis is a professional author, did you take everything in liar’s poker seriously too?

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anonymous

September 12th, 2012 at 1:23 am

‘I thought we were discussing HFT… Clearly we’re talking about very different things.’

No we are discussing HFT and that is the unproductive part of the economy, supply of pure liquidity, lol, tax it and regulate it like a casino slot machine.

‘Anyway, if you want to tax Facebook, go ahead (really, it’s the biggest waste of productivity evah)’

social media, travel, leisure is integral part of human existence, get out of Manhattan/Connecticut and come to Europe, you’ll see what this is all about.

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anonymous

September 12th, 2012 at 1:25 am

‘If that is the case then arguably whilst you think it is fair to operate without little or no restraint as a HFT MM you have no problem asking for the moderator to restrain this thread.’

lol, nice hypocrisy catch.

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anonymous

September 12th, 2012 at 1:30 am

‘Stan Correy: Most high-frequency trading firms don’t like to talk about what they do, but the Dutch firm Optiver has decided that being media-friendly is the best strategy.’

Their F1 is the only high-frequency strategy, have they told their friends in media about their real (lack of) capabilities.

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anonymous

September 12th, 2012 at 5:37 am

Aren’t they in court to win control of some 5 years out of date capability?

Wait, what was this thread about before it was hijacked by morons??

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anonymous

September 12th, 2012 at 11:26 pm

@ 5:37 Sorry going to have to call you on hypocrisy (again?). You are suggesting that this thread has been ‘hijacked’ when HFT hijack the markets every day with various manipulative strategies. You might want to reflect on the irony of this and the systemic impact HFT has on the integrity of the markets. Perhaps going forward you can be more constructive.

http://www.npr.org/blogs/money/2012/08/27/159992076/a-father-of-high-speed-trading-thinks-we-should-slow-down

This story was posted on Lost Numbers on Optiver and Julien Couvreur wrote comments on the blog (Monday, 27 August 2012 6:33:45 PM) as suggested improvements to slow down HFT:

- limit trading frequency per customer
- limit trading frequency on stock units (you have to hold onto a stock for a minimum amount of time before selling it again)
- charge a transaction fee per transaction
- run auctions every hour or every day (like a turn-based game)

Discussion/Thoughts/Utility/Effect?

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anonymous

September 13th, 2012 at 12:14 am

‘Aren’t they in court to win control of some 5 years out of date capability?’

really F1 is out of date already, wasn’t that operating at top end speed?

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anonymous

September 13th, 2012 at 12:16 am

‘Discussion/Thoughts/Utility/Effect?’

we have been through this several times now, 10-20 bps transaction tax, not much more complexity required, now stop hijacking with stupid mass media hft articles.

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anonymous

September 13th, 2012 at 1:47 am

zactly. it’s not fkn rocket science. moving along…

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anonymous

September 13th, 2012 at 8:43 am

Ok cool – no objections then. If the industry supports it great.

This should suffice.

http://www.smallbusinessaustralia.org.au/petition/kit

Should only only take me a couple of weeks to draft the public relations and educational campaign, begin lobbying politicians and the public. Perhaps I will target the independants first.

Thanks for everybody’s contribution. This forum will make a handy reference. Stand-by for some serious change initiated by what Wall St commonly refer to as a ‘muppet’:)

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anonymous

September 13th, 2012 at 9:04 am

Update. Little or nothing to report.

https://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions

“1. The balance of the outstanding subpoenas be adjourned to 9.30 am on 17 October 2012.”

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anonymous

September 13th, 2012 at 9:41 am

‘when HFT hijack the markets every day with various manipulative strategies.’
Can you, for once, maybe give some examples of these manipulative strategies? I’ve only seen you come out with populist one-liners, but nothing of substance that we can actually discuss.
Methinks that you invented your own definition of manipulative.

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anonymous

September 13th, 2012 at 2:39 pm

@ 9:41

No problem. Read the articles linked/posted on this thread. There are plenty of examples. When you have read them….. choose a couple – lets discuss. I respectfully ask before we enter into the discussion that you are prepared to disprove those examples alleged by the blogger/journalist as not being manipulative or unfair. I will argue what needs to be put in place to ensure market integrity and fairness for all participants.

However, bear in mind that irrespective of what we debate on this forum it is not necessarily what we each define as being or not being manipulative or unfair. It is the what the broader market participants (which indirectly includes anybody with a super fund) defines as being manipulative or unfair once armed with:

- the basic mechanics of how HFT operates,
- what the function of a market should be,
- how wealth is being progressively harvested with disproportionate systemic risk attached little or no benefit.

That is what carries real weight on how this sector will be reformed. What the everyday market participant defines as manipulative or unfair.

In this game Perception = Reality

The financial advice industry reform the last couple of years comes to mind. Investors got fed up. Storm Financial, Opes Prime, Fincorp et al. The Industry did not disappear but underwent significant reform brought about in the main from extensive grass-roots lobbying.

Let HFT come out into the light. Let democracy decide :)

@ 8:43 Good idea. Petition, PR campaign :)

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anonymous

September 13th, 2012 at 4:54 pm

I’m not going to read every bit of drivel one some blog or in some newspaper to where someone posts a link. If you think they’re full of examples of manipulative behaviour, then post some examples and don’t just refer to pages of text for me to wade through.

Anyway, I did have a look at some and couldn’t find any examples. I did find this:
‘There are predatory algorithms, parasitic algorithms, and algorithms that are preyed upon.’
This is the kind of populist one-liners I meant. This is not worthy of a response.

‘if you know several others have entered buy orders at market price, but their systems are slower to execute than yours, you can buy ahead of them, let their orders push the price up higher, and then, using your superior speed, sell what you just bought at the higher price their orders created and take a small profit.’
Serious? HFT knows about market orders before they reach the market? I’m sure they also know what Bernanke is going to say tomorrow and who will be the next US president. Don’t expect anyone to take you seriously if this is your best argument against HFT.

It’s not up to me to prove something is not manipulative, it’s up to you that it is. That’s how our society works. Innocent until proven guilty.
Also, I rather have lawmakers decide what’s unfair than letting the broader public decide based on limited info (‘armed with the basic mechanics of HFT’) and populism (‘how wealth is progressively harvested’) Your third bullet point could in theory be an outcome of an evaluation, it definitely is not supposed to be a starting point, a given.

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anonymous

September 14th, 2012 at 12:56 am

‘Stand-by for some serious change initiated by what Wall St commonly refer to as a ‘muppet’:)’

who are you mate?

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anonymous

September 14th, 2012 at 12:57 am

‘Update. Little or nothing to report.’

then what’s the point of spamming?

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anonymous

September 14th, 2012 at 1:00 am

‘Can you, for once, maybe give some examples of these manipulative strategies?’

okay let me reword it from manipulative strategies to predatory/diming strategies, happy?

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anonymous

September 14th, 2012 at 1:05 am

‘‘if you know several others have entered buy orders at market price, but their systems are slower to execute than yours, you can buy ahead of them’

okay let me reword from ‘slower to execute’ to ‘hitting offers in due course of excution’, reading order/tape gives signal that more offers are going to be taken out, so either you start diming or start hitting the offers first, it’s what industry practitioners refer to as extracting optionality of the limit bids, stop trying to confuse the muppet pls.

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anonymous

September 14th, 2012 at 1:08 am

‘Also, I rather have lawmakers decide what’s unfair than letting the broader public decide based on limited info’

lawmakers are as clueless and biases as the broader public, the underlying mechanism of harvesting wealth out of real economy in the name of providing liquidity is just bs, just open a bloody slot machine and provide a gambling hit for the financially addicted types, this would solve all the confusion.

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anonymous

September 14th, 2012 at 1:50 am

Read this stupid discussion “Attack of the Algorithms”. What a waste of time. A bunch of profanes put their profane ideas to the public. Or did they just pretend they are morons on purpose?

“Bill Shorten: I never forget whose money it is—it’s the superannuant; it’s the mums and dads who own shares. ”

It’s the superannuation funds who rip off mums and dads. Let’s try to estimate the contribution of hft. If a fund makes a 100 trades a year on behalf of mums and dads then if they loose to hft 1c per trade it’s only $1 a year. Now look at they administration fee. It’s hundreds of dollars because they are inefficient and technologically challenged. They just have a hidden agenda to fight with hft manipulating public opinion, telling to mums and dads that hft is bad just to chase their own greedy goals. They can not compete with hft shops on the level ground but would prefer to rip off mums and dads as they used before.

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anonymous

September 14th, 2012 at 2:16 am

@12:57 oh sorry you must be from Tibra.

Knowing that there is little or nothing to report (subpoenas be adjourned) is still important for those tracking this case and developments. That information is (that it is getting dragged out even longer) is still material to some.

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anonymous

September 14th, 2012 at 5:57 am

Another “wise” one from “Attack of the Algorithms”

——————
Alan McGrath: There was a perfect example a couple of days ago in BlueScope Steel, where I think there was something like 750,000 shares on the sell side and a 50,000 order went through and instantly the other 700,000 disappeared. So you know that’s automated, because it happens in split seconds, so it happens quicker than you could notice.

Stan Correy: Those 700,000 shares were just automated orders, hanging around with no intention of selling or buying. If they don’t get the right price signal to move up or down, they’re gone.

Alan McGrath: And often what you’ll see happen is just once a stock ticks to the next level, all the sellers will disappear and buyers will appear at that next level. And if someone picks it up again, all the sellers will disappear and buyers will move up.

——————

I’m amused how they describe what’s happened. Invited some inexperienced rookie trader to comment. They are looking at a single stock and like a fish not able to see the sky. If they could see the whole picture, see how index arbitrage and options delta-hedging affects trading in a single stock they would never make such moronic comments.

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anonymous

September 14th, 2012 at 7:48 am

Fuck’em I say. All market makers to band together, quoting only slow and super wide. Give the public what they think they want, while filling them at a shitload off fair. These morons don’t appreciate nor deserve tight markets.

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anonymous

September 14th, 2012 at 9:01 am

yes, that’s the way to go

Avatar

anonymous

September 14th, 2012 at 10:04 am

‘okay let me reword from ‘slower to execute’ to ‘hitting offers in due course of excution’, reading order/tape gives signal that more offers are going to be taken out, so either you start diming or start hitting the offers first’

Especially for you, a few quotes from Jesse Livermore:
“The savvy stock market trader controls his emotions and always acts in the future, not the present, and certainly never from the past. Therefore, like a crystal ball, the person who knows how to read the tape at these moments always seem to be able to identify these rising industry groups who will become the new strong sector – stocks for the new rally.”

“It is up to the skillful trader to watch the tape and react only to what the tape is saying. Learn how to read the tape – the truth is in the tape, listen to it.”

I guess Jesse Livermore must have been a high frequency trader? Reading the tape has become a predatory strategy in your world?

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anonymous

September 14th, 2012 at 11:18 am

>quoting only slow and super wide

It will come naturally if the transaction tax is in place. All spreads in the market will be widened by the double of the transaction tax. Hedgefuds and superfunds will be the ones to pay for it. No difference to HFT/MMs. Luckily someone understands it, hence the solution with the filtering.

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anonymous

September 14th, 2012 at 11:31 am

why so many people are against HF trading?

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anonymous

September 14th, 2012 at 3:27 pm

Because they are degenerate gamblers looking for anyone but themselves to blame.

Boo hoo, “they” made me fail.

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anonymous

September 14th, 2012 at 4:31 pm

yes, those who complain against HFT are generally complete losers, I say this because I know personally several of them

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anonymous

September 15th, 2012 at 1:47 am

E mini liquidity drying up as HFT “Disruptor” manipulates the market
Published 3 April, 2012, 12:00, UTC+1 | By the trader
Another great insight easily explained by Nanex.
On Friday, Aug 5, 2011, we processed 1 trillion bytes of data for all U.S. equities, options, futures, and indexes. This is insane. A year ago, when we processed half of that, we thought it was madness. A year before that, when it was 250 billion bytes, we thought the same. There is no new beneficial information in this monstrous pile of data compared to 3 years ago. It is noise, subterfuge, manipulation. The root of all that is wrong with today’s markets.

HFT is sucking the life blood out of the markets: liquidity. It is almost comical, because this is what they claim to supply. No one with any sense wants to post a bid or ask, because they know it will only get hit when it’s at their disadvantage. Some give in, and join the arms race. Others leave.

Take the electronic S&P 500 futures contract, known as the emini, for example. This is, or used to be, a very liquid market. The cumulative size in the 10 levels in the depth of book was often 20,000 contracts on each side. That means a trader could buy or sell 20,000 contracts “instantly” and only move the market 10 ticks or price levels. Even during the flash crash, before the CME halt, when hot potatoes were flying everywhere, the depth would still accommodate an instant sale of 2,000 contracts.

What used to be the most liquid and active contract in the world, which served as a proxy for the true price of the US stock market for decades, is getting strangled by the speed of light, a weapon wielded by HFT.
Not anymore. On Friday, 2,000 contracts would have sliced right through the entire book. Not during a quiet period, or before a news event. Pretty much any minute of trading that day after the 9:54 slide. And it wasn’t just Friday, the trend in the depth of book size has been declining rapidly over the last few week. What used to be the most liquid and active contract in the world, which served as a proxy for the true price of the US stock market for decades, is getting strangled by the speed of light, a weapon wielded by HFT.

Without going into detail at this time, we think we know one cause of the drop in liquidity. A certain HFT algorithm that we affectionately refer to asThe Disruptor, will sell (or buy) enough contracts to cause a market disruption. At the same exact time, this algo softens up the market in ETFs such as SPY, IWM, QQQ, DIA and other market index symbols and options on these symbols. When the disruptor strikes, many professional arbitrageurs who had placed their bids and offers in the emini suddenly find themselves long or short, and when they go to hedge with ETFs or options, find that market soft and sloppy and get poor fills. Naturally, many of these arbitrageurs realize the strategy no longer works, so they no longer post their bids and offers in the emini. Other HFT algos teach the same lesson — bids or offers resting in the book will only become liabilities to those who can’t compete on speed.

In summary, HFT algos reduce the value of resting orders and increase the value of how fast orders can be placed and cancelled. This results in the illusion of liquidity. We can’t understand why this is allowed to continue, because at the core, it is pure manipulation.

The charts below shows the sum of all 10 depth of book bid sizes over each minute of the trading day. This is an excellent measure of liquidity in the emini. The red line at the bottom is Friday, Aug 5, 2011. Note how liquidity has been falling off sharply over the last few weeks.

http://www.thetrader.se/2012/04/03/e-mini-liquidity-drying-up-as-hft-disruptor-manipulates-the-market/#more-17127

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anonymous

September 15th, 2012 at 1:48 am

and check out the chart on this link and how things have changed from 2009 till present

HFT-The One chart says it all
Published 6 February, 2012, 09:52, UTC+1 | By the trader
HFT rules the broken market. If you still disbelief, please review what has happened over the past years. The exchanges will tell you HFT is providing liquidity, enhancing trading, but unfortunately, this is a great fallacy. Volumes have been diminishing over the past years, liquidity is drying up, and the broken market is becoming even more broken. Wonder if Eugene Fama has seen this chart? Perfect information, rational investors, yeah right. Must see action, continue. Courtesy Nanex via Zero Hedge.

http://www.thetrader.se/2012/02/06/hft-the-one-chart-says-it-all/#more-15713

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anonymous

September 15th, 2012 at 3:44 am

> Without going into detail at this time

Sure, because you don’t understand ;)

> this algo softens up the market in ETFs

Softens? How do they do it? Please explain.

> professional arbitrageurs who had placed their bids and offers in the emini suddenly find themselves long or short, and when they go to hedge with ETFs or options, find that market soft and sloppy and get poor fills.

Index/options arb IS an HFT. So one HFT robot beat another. So what? What are you complaining about?

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anonymous

September 15th, 2012 at 8:53 am

‘They just have a hidden agenda to fight with hft manipulating public opinion, telling to mums and dads that hft is bad just to chase their own greedy goals.’

For crying out loud, how many fucking times does it need to be repeated, one big wrong doesn’t make the small wrong any good.

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anonymous

September 15th, 2012 at 8:53 am

Capiche?

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anonymous

September 15th, 2012 at 8:57 am

‘important for those tracking this case and developments.’

who is tracking this ancient case any more, specially who thinks no news is itself material?

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anonymous

September 15th, 2012 at 9:00 am

‘they would never make such moronic comments.’

Sorry, what was so moronic about his description of the order book and tape reading dynamics?

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anonymous

September 15th, 2012 at 9:02 am

‘All market makers to band together, quoting only slow and super wide. Give the public what they think they want, while filling them at a shitload off fair. These morons don’t appreciate nor deserve tight markets’

lol, this moron forgot what got the spreads so narrow, competition, lol. Market making is cut throat, if you don’t quote tight enough, you get zero scalping and start bleeding fixed costs, haha its not a union and you are not doing anyone charity by quoting tight, fuck ‘em i say 20bps transaction tax, fuck ‘em real good.

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anonymous

September 15th, 2012 at 9:05 am

‘yes, that’s the way to go’

haha, the way to go for you would be that door.

http://www.amsterdamtrader.com/2010/03/the-art-of-firing-at-imc-and-all-options-2.html

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anonymous

September 15th, 2012 at 9:09 am

‘I guess Jesse Livermore must have been a high frequency trader? Reading the tape has become a predatory strategy in your world?’

Jesse wasn’t competing with a people who could read the tape faster and fire orders even before he even blinked his eyes, it’s just unproductive part of capital allocation, 10bps transaction cost to align it back to requirements of the real economy.

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anonymous

September 15th, 2012 at 9:14 am

‘Hedgefuds and superfunds will be the ones to pay for it.’

No one would pay 40bps bid-offer spread, you must be high to even suggest that, the volumes would collapse, that’s all, the point. If you wanna punt, go to a slot machine or play poker, financial markets ain’t a casino.

‘No difference to HFT/MMs.’

no diff to hft/mm, lol, you really are high, with no volumes and no one paying spread, hft/mm would be the first one to feel the effect, god how stupid people can be in their analysis.

‘Luckily someone understands it, hence the solution with the filtering.’

what’s the filtering solution and why is it better than 10bps transaction tax?

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anonymous

September 15th, 2012 at 9:16 am

‘why so many people are against HF trading?’

lot of people are against lot of different things, just because you yourself are hft, you are taking it personally, nothing personal buddy, you are just not required any more, adios.

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anonymous

September 15th, 2012 at 9:17 am

‘Boo hoo, “they” made me fail.’

lol, the creator of everything, ‘they’

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anonymous

September 15th, 2012 at 1:00 pm

the losers mentality

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anonymous

September 15th, 2012 at 2:07 pm

> you really are high, with no volumes and no one paying spread, hft/mm would be the first one to feel the effect, god how stupid people can be in their analysis.

Stupid? I did not say anything about profits of hft shops. MMs will get the same edge, funds will pay the same edge to MMs. No difference. The volumes will be down, you are right, but this is a different story.

> ‘Luckily someone understands it, hence the solution with the filtering.’
what’s the filtering solution and why is it better than 10bps transaction tax?

Because filtering “undue” behaviour of htf shops will keep the volume. It will just shut up the opposition, nothing will actually change. Those filters will not block MMs or arbs.

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anonymous

September 15th, 2012 at 2:24 pm

> Sorry, what was so moronic about his description of the order book and tape reading dynamics?

Because people involved in the discussion do not understand that those shares shown on bid or ask were part of arb strategy. There WAS intention to trade. The strategy might cross and remove the quote or trade in different correlated asset. This is a bit too complex for the minds of those people.

“Stan Correy: Those 700,000 shares were just automated orders, hanging around with no intention of selling or buying.”

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anonymous

September 15th, 2012 at 4:57 pm

‘yes, those who complain against HFT are generally complete losers, I say this because I know personally several of them’

this is of course fool proof defence of why HFT is a complete winning contributor to the capital markets and economy on whole.

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anonymous

September 15th, 2012 at 5:17 pm

‘funds will pay the same edge to MMs’

what world are you living in, who is going to pay 40bps edge to MM?

‘Because filtering “undue” behaviour of htf shops will keep the volume.’

that’s the whole point, economy doesn’t need this much trading/volumes/liquidity.

‘ It will just shut up the opposition, nothing will actually change’

you still don’t get it, the world has changed my friend.

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anonymous

September 15th, 2012 at 5:20 pm

‘Stan Correy: Those 700,000 shares were just automated orders, hanging around with no intention of selling or buying’

i mean to an extent, he is correct right, some of the orders are just diming with no real intention to get fully filled, they extract information from the order book/tape, that’s about it, the moment you want the liquidity, it bloody disappears, so what if Stan doesn’t understand stat arb completely.

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anonymous

September 15th, 2012 at 5:35 pm

‘A certain HFT algorithm that we affectionately refer to asThe Disruptor, will sell (or buy) enough contracts to cause a market disruption’

Doesn’t this sound as a conspiracy theory?

‘In summary, HFT algos reduce the value of resting orders and increase the value of how fast orders can be placed and cancelled’

It’s called hidden quotes or electronic eye.

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anonymous

September 15th, 2012 at 5:36 pm

‘http://www.thetrader.se/2012/02/06/hft-the-one-chart-says-it-all/#more-15713′

is the chart the sum of cancelled orders?

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anonymous

September 15th, 2012 at 6:06 pm

‘A certain HFT algorithm that we affectionately refer to asThe Disruptor, will sell (or buy) enough contracts to cause a market disruption’

I don’t see why this has to be a HFT algorithm? If all it does is send orders in a couple of products at the same moment, and wait for the market to move to later buy it back lower, then there isn’t much high frequency about it. As someone else pointed out, the people it trades against, THEY are HFT. So now you’re claiming we should get rid of HFT because they don’t fill up the order book as they used to?

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anonymous

September 15th, 2012 at 6:14 pm

‘Jesse wasn’t competing with a people who could read the tape faster and fire orders even before he even blinked his eyes’

No, others were competing against Jesse who happened to read the tape faster than they did. And now there’s something that’s even faster than Jesse was. Just because someone does something better than you do because of better use of new technology is no argument for banning the new technology. When the Japanese were able to build your car with custom specs faster than GM because of just-in-time production we didn’t ban Japanese cars.

You still haven’t given an example of a manipulative/predatory HFT strategy. You’re still stuck at ‘we should do something about it because they’re unproductive’.

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anonymous

September 15th, 2012 at 7:44 pm

yes the point, HFT is unproductive deployment of human, intellectual capital. don’t compare financial innovation to JIT production, better comparison is smoking which lot of people want, but is not good for the society or the user itself and thus the tax.

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anonymous

September 15th, 2012 at 7:46 pm

‘You still haven’t given an example of a manipulative/predatory HFT strategy’

this is the grey area, of course HFT is being funded by exectution alpha of rest of the market participants, how HFT steals that is apparent, if you can call it predatory or manipulative is getting to the question of how pedantic you want to be.

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anonymous

September 15th, 2012 at 9:20 pm

Want to Blunt High-Frequency Trading? Australia Has a Plan.

http://blogs.wsj.com/marketbeat/2012/09/10/want-to-blunt-high-frequency-trading-australia-has-a-plan/

“Regulators should strive to make it unprofitable for high-frequency traders to front-run markets”

“there is increasing support for the proposals from the regulator, government and fund managers”

“Think of real liquidity as a bucket of water. High-frequency is just a sheet of water, it’s simply not there when you put your hand through it”

Funke Kupper Head of ASX

Say goodbye to second ferrari fellas :)

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anonymous

September 16th, 2012 at 3:21 am

> ‘funds will pay the same edge to MMs’
> what world are you living in, who is going to pay 40bps edge to MM?

What’s 40bps? The tax? Since when tax is a part of edge?? The edge is what you get after transaction costs.

> that’s the whole point, economy doesn’t need this much trading/volumes/liquidity.

This volume is just a side effect of keeping market efficient. Index arb, options hedging etc. Do you think that the fact that the ASX index is trading in synch with the shares has no economic effect?
Yeah, if you think it’s not required then I agree to some extent. But then the whole financial sector is not required. Let’s roll back 1000s years ago and use barter.

> you still don’t get it, the world has changed my friend.

What exactly I don’t get? Can you elaborate?

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anonymous

September 16th, 2012 at 9:21 am

@9.20pm
You forgot to quote this one:
‘The proposals from the ASX are self-serving in that limiting competition in trading would naturally drive more action to the exchange’

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anonymous

September 16th, 2012 at 9:30 am

‘Say goodbye to second ferrari fellas’

what are you gloating about, its nothing personal, there’s just no broad social utility of this practice.

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anonymous

September 16th, 2012 at 9:37 am

‘What’s 40bps?’

Its the edge where mm are quoting wide.

‘This volume is just a side effect of keeping market efficient.’

okay, then we don’t need this much market efficiency, who cares if bloody gold mining stock moved along in line with rest of miners or broader gold rally. if it’s been lagging for some time, somebody would invest in it and hopefully cause positive management influence rather than get out 10 seconds later.

‘Do you think that the fact that the ASX index is trading in synch with the shares has no economic effect?’

what’s this economic effect?

‘But then the whole financial sector is not required. ‘

the whole financial sector is not abt HFT, apart from HFT, rest of financials are pretty much non-HFT, we can discuss about their merits separately, again don’t try to confuse HFT discussion by bringing in merits/demerits for rest of financials.

‘What exactly I don’t get? Can you elaborate?’

The 30 year credit bubble is over, we are in year 5 of 15 year deleveraging, the world has changed.

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anonymous

September 16th, 2012 at 9:39 am

‘The proposals from the ASX are self-serving in that limiting competition in trading would naturally drive more action to the exchange’

Can it instead drive the flow to competitor Chi-X?

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anonymous

September 16th, 2012 at 1:33 pm

> ‘Do you think that the fact that the ASX index is trading in synch with the shares has no economic effect?’
> what’s this economic effect?

Kidding? You can invest in top 200 companies by trading a single instrument.

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anonymous

September 16th, 2012 at 2:11 pm

You can invest in top 200 companies even if the underlying index was 10-20 bps off from its fair value, we don’t need a bloody HFT to keep it within 1-2 bps, now pls go away.

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anonymous

September 16th, 2012 at 3:27 pm

> > ‘Do you think that the fact that the ASX index is trading in synch with the shares has no economic effect?’

The index (an average of share prices) trades in synch with its constituents by definition. What’s your point?

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anonymous

September 16th, 2012 at 11:32 pm

No it doesn’t, go to S&P website and see the index gets updated every 15 seconds, and it’s non tradeable, so how do you get exposure to index, through futures and etfs, where there is great amount of competition to keep it in sync, for no social value of course.

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anonymous

September 17th, 2012 at 2:10 am

Great posts! I look forward to doing index arb by hand again. Sweet.

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anonymous

September 17th, 2012 at 2:36 am

“yes, those who complain against HFT are generally complete losers, I say this because I know personally several of them”

Interesting comment. I trust this comment is just a thought provoking. Most HFT traders I know:

- have no regard for their negative impact on the broader market,

- have little or no moral dimension to their decision making,

- have a Darwinian view of stealing profits from the market,

- equate the size of their bank account directly representative of the measure of their success in life,

- have a superiority complex and display hubris as a result.

There is very little or no benefit of HFT and it needs to transition to a utility of the exchanges either structurally or by way of a transaction tax. These firms do not produce a product and it is highly questionable the quality of their liquidity is a service. It is an unproductive component of the economy and HFT traders are selfishly and undeservedly harvesting out millions of dollars to fuel their lavish lifestyles at the expense of normal everyday hard working people.

However, history has a way of ironing out these economic and social imbalances. While I would not like to see it happen; unless crony capitalism et al and manipulative practices like HFT continue without boundaries they may bring about an economic and social collapse. In this environment they help create and perhaps with a sense of irony the HFT traders are the least capable to survive. Maybe they can apply their arbitrage skills to bargain for their lives with fellow Darwinians 

http://www.hangthebankers.com

Hey they used to do at the turn of the century. Maybe HFT traders will be scapegoats of the 21st century?

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anonymous

September 17th, 2012 at 2:58 am

From those with ability to those with needs.

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anonymous

September 17th, 2012 at 9:24 am

@2.36am
Interesting comment. I trust this comment is just a thought provoking. Most socialists I know:
- have no clue about trading or the markets (or anything really except squatting, protesting and not showering)
- still have an opinion about everything
- have an air of moral superiority
- have a Marxist view of stealing money from people who do work
- equate the size of their Arafat-sjaaltje directly representative of the measure of their standing in the squatting community
- have a moral superiority complex and display ignorance as a result

Socialist, squatters and unemployed people are an unproductive component of the economy and are selfishly and undeservedly harvesting out billions of dollars to fuel their occupy camps and smelly lifestyles at the expense of normal everyday hard working people.

However, history has a way of ironing out these economic and social imbalances. While I would not like to see it happen; unless marxism et al and occupy camps continue without boundaries they may bring about an economic and social collapse. In this environment they help create and perhaps with a sense of irony the socialists are the least capable to survive. Maybe they can apply their protesting skills to bargain for their lives with fellow marxists.

See how easy it is to generalise and spit out nonsense? Please come with something with substance or shut up once and for all and go camp on Martin Place with your unwashed friends.

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anonymous

September 18th, 2012 at 4:05 am

@9:24am

Is this the substance you require?

High-frequency trading a ‘systemic risk’

The Australian Securities and Investments Commission (ASIC) is being urged to crack down on the practice of high-frequency share trading.

http://www.abc.net.au/news/2012-09-18/peter-ryan-on-high-frequency-trading/4267004

Super funds call for high frequency trade ban

http://www.smh.com.au/business/super-funds-call-for-high-frequency-trade-ban-20120917-261yp.html#ixzz26meabUYG

Nice tactic for you to try to re-orientate the discussion around socialism vs capitalism. That’s as old as the hills mate. If your as smart as you think you are you know that achieving effective markets still requires rules. Don’t confuse rules (regulation) with socialism. The practices of HFT are affecting the integrity and the intention/purpose of the market. Markets and true capitalism should reward risk for innovation for the production of marketable goods and services. As has been debated on this thread it is highly questionable whether front running via a speed advantage and the ‘liquidity’ it provides is of sufficient quality to assist the market. It also carries a systemic risk.

My comment above is a response and an observation about a cultural pattern emerging within the HFT industry. This thread (the fact there is an IP case regarding the theft of code from one company to another) Society General (Samarth Agrawal), Goldman Sachs (Sergey Aleynikov) et al are examples of morally questionable individuals stealing code. I cant help but think that its easy for them rationalise the theft of this code given the model in which they steal capital out of the system.

Btw, a form of ‘socialism’ pays for the Police investigator when your Ferrari is car-jacked, or the nurse who puts a band-aid on your paper cut.

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anonymous

September 18th, 2012 at 4:08 am

Your comment is awaiting moderation.

@9:24am

Is this the substance you require? This news items in the last 24 hours.

High-frequency trading a ‘systemic risk’

The Australian Securities and Investments Commission (ASIC) is being urged to crack down on the practice of high-frequency share trading.

http://www.abc.net.au/news

Super funds call for high frequency trade ban

http://www.smh.com.au/business

Nice tactic for you to try to re-orientate the discussion around socialism vs capitalism. That’s as old as the hills mate. If your as smart as you think you are you know that achieving effective markets still requires rules. Don’t confuse rules (regulation) with socialism. The practices of HFT are affecting the integrity and the intention/purpose of the market. Markets and true capitalism should reward risk for innovation for the production of marketable goods and services. As has been debated on this thread it is highly questionable whether front running via a speed advantage and the ‘liquidity’ it provides is of sufficient quality to assist the market. It also carries a systemic risk.

My comment above is a response and an observation about a cultural pattern emerging within the HFT industry. This thread (the fact there is an IP case regarding the theft of code from one company to another) Society General (Agrawal), Goldman Sachs (Aleynikov) et al are examples of morally questionable individuals stealing code. I cant help but think that its easy for them rationalise the theft of this code given the model in which they steal capital out of the system.

Btw, a form of ‘socialism’ pays for the Police investigator when your Ferrari is car-jacked, or the nurse who puts a band-aid on your paper cut.

Avatar

anonymous

September 18th, 2012 at 8:22 am

‘I look forward to doing index arb by hand again’

No you don’t need to, go do something better with your life.

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anonymous

September 18th, 2012 at 8:26 am

‘http://www.hangthebankers.com’

Why are you confusing bankers with HFT?

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anonymous

September 18th, 2012 at 8:28 am

‘equate the size of their Arafat-sjaaltje directly representative of the measure of their standing in the squatting community’

what is Arafat-sjaaltje?

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anonymous

September 18th, 2012 at 8:35 am

Same super funds will pay that txn tax. Dumbasses.

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anonymous

September 18th, 2012 at 8:52 am

@8:28am I believe that is a placard about beheading infidels .

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anonymous

September 18th, 2012 at 9:19 am

@9:24am

Is this the substance you require?

High-frequency trading a ‘systemic risk’

The Australian Securities and Investments Commission (ASIC) is being urged to crack down on the practice of high-frequency share trading.

http://www.abc.net.au/news/2012-09-18/peter-ryan-on-high-frequency-trading/4267004

Super funds call for high frequency trade ban
http://www.smh.com.au/business/super-funds-call-for-high-frequency-trade-ban-20120917-261yp.html#ixzz26meabUYG

Nice tactic for you to try to re-orientate the discussion around socialism vs capitalism. That’s as old as the hills mate. If your as smart as you think you are you know that achieving effective markets still requires rules. Don’t confuse rules (regulation) with socialism. The practices of HFT are affecting the integrity and the intention/purpose of the market. Markets and true capitalism should reward risk for innovation for the production of marketable goods and services. As has been debated on this thread it is highly questionable whether front running via a speed advantage and the ‘liquidity’ it provides is of sufficient quality to assist the market. It also carries a systemic risk.

My comment above is a response and an observation about a cultural pattern emerging within the HFT industry. This thread (the fact there is an IP case regarding the theft of code from one company to another) Society General (Samarth Agrawal), Goldman Sachs (Sergey Aleynikov) et al are examples of morally questionable individuals stealing code. I cant help but think that its easy for them rationalise the theft of this code given the model in which they steal capital out of the system.

Btw, a form of ‘socialism’ pays for the Police investigator when your Ferrari is car-jacked, or the nurse who puts a band-aid on your paper cut.

Avatar

anonymous

September 18th, 2012 at 9:22 am

@9:24am

Is this the substance you require?

High-frequency trading a ‘systemic risk’

The Australian Securities and Investments Commission (ASIC) is being urged to crack down on the practice of high-frequency share trading.

ABC news online

Super funds call for high frequency trade ban

Sydney Morning Herald

Nice tactic for you to try to re-orientate the discussion around socialism vs capitalism. That’s as old as the hills mate. If your as smart as you think you are you know that achieving effective markets still requires rules. Don’t confuse rules (regulation) with socialism. The practices of HFT are affecting the integrity and the intention/purpose of the market. Markets and true capitalism should reward risk for innovation for the production of marketable goods and services. As has been debated on this thread it is highly questionable whether front running via a speed advantage and the ‘liquidity’ it provides is of sufficient quality to assist the market. It also carries a systemic risk.

My comment above is a response and an observation about a cultural pattern emerging within the HFT industry. This thread (the fact there is an IP case regarding the theft of code from one company to another) Society General, Goldman Sachs et al are examples of morally questionable individuals stealing code. I cant help but think that its easy for them rationalise the theft of this code given the model in which they steal capital out of the system.

Btw, a form of ‘socialism’ pays for the Police investigator when your Ferrari is car-jacked, or the nurse who puts a band-aid on your paper cut.

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anonymous

September 18th, 2012 at 9:25 am

High-frequency trading a ‘systemic risk’

The Australian Securities and Investments Commission (ASIC) is being urged to crack down on the practice of high-frequency share trading.

http://www.abc.net.au/news/2012-09-18/peter-ryan-on-high-frequency-trading/4267004

Super funds call for high frequency trade ban
http://www.smh.com.au/business/super-funds-call-for-high-frequency-trade-ban-20120917-261yp.html#ixzz26meabUYG

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anonymous

September 18th, 2012 at 9:25 am

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anonymous

September 18th, 2012 at 9:44 am

No, that’s not the substance I’m looking for. It says the super industry lobby group thinks there should be a ban on HFT because they think HFT can ‘destabilise markets and make them less equitable’. That’s one-liners again, not a fact-based and rational discussion. Superfunds are just looking at someone to blame for their lacklustre performance. A goo chunk gets eaten by their own fees, but that doesn’t go well with their customers. So much easier to blame someone else for it.

I’m not trying to reorient the discussion on socialism vs. capitalism. I just changed a few words in your story to see how baseless it was. What I wrote was nonsense. What you wrote was nonsense.

We’re never going to agree, so I’ll leave it at this.

And get the idea out of your head that HFT traders all drive ferraris. You’d be surprised how many of them don’t even own cars…

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anonymous

September 18th, 2012 at 9:50 am

Arafat-sjaaltje: the scarfs the guys in the front of this photo are wearing
http://www.rnw.nl/data/files/images/lead/241009%20krakers%20ANP-11141481.jpg

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anonymous

September 18th, 2012 at 10:11 am

and live with their parents.

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anonymous

September 18th, 2012 at 10:20 am

@9:44

I am not against HFT per se. There is never effective solutions to problems when people speak in absolutes. It is my view that HFT is operating without any structural, regulatory or cultural restraint and needs to be looked at so that the benefits can be retained and risks mitigated.

Whenever I hear “its just to complicated….you wouldnt understand” (thats what the catholic church and preists said in positions of power during the reformation, inquisitions etc) or “people are clueless” about trading or markets thats when I just have to laugh. You have to better at explaining it.

And thats the point I will leave it at. Its not you that I have to convince. The public debate and profile is shifting (as demonstrated by the spate of articles in the mainstream press) so that the onus of proof is now on the industry to justify its existence in its current form. Not me proving it. If the broader market participant (thats basically everybody with a superfund or retail trader) thinks their getting screwed then perception equals reality. However, Im not excusing that industry. They have some stuff to work on as well. Lets not shift the blame for loss of yield onto one segment of the financial sector to divert warranted attention on your segment.

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anonymous

September 18th, 2012 at 10:31 am

@ 9:44 what do you expect in a newspaper article… a thesis?

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anonymous

September 18th, 2012 at 10:45 am

one more point as a few people have raised that anyone critiqeing HFT must be a ‘dumbass’.

I cant think of anything more un-intelligent then not one co-founder but all of them agreeing initially to name and register a company called FTD ($%^& The Dutch)

In light of the growing spotlight on HFT and this particularly court case it looks very stupid and immature.

Stuck to programming and intercepting orders :)

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anonymous

September 18th, 2012 at 12:52 pm

FHFT

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anonymous

September 18th, 2012 at 1:27 pm

:)

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anonymous

September 18th, 2012 at 3:49 pm

‘Same super funds will pay that txn tax. Dumbasses.’

That’s good, that’ll deter useless portfolio churn.

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anonymous

September 18th, 2012 at 3:51 pm

‘Your comment is awaiting moderation.’

you can ignore this part, all your multiple posts are visible, the red warning just flashes up for weblinks, but it doesn’t actually stop the post/weblink from being visible to other readers of the blog.

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anonymous

September 18th, 2012 at 3:53 pm

‘Superfunds are just looking at someone to blame for their lacklustre performance.’

Can’t deny that, but as human they are expected to do that and it still doesn’t mean that HFT has any social benefits.

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anonymous

September 18th, 2012 at 3:54 pm

‘You’d be surprised how many of them don’t even own cars’

Can they afford a Ferrari?

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anonymous

September 18th, 2012 at 3:55 pm

‘Arafat-sjaaltje: the scarfs the guys in the front of this photo are wearing’

is there some social significance or is it just a scarf?

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anonymous

September 18th, 2012 at 3:58 pm

it’s the clothing of choice of occupyfolk aka lazy squatterbums.

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anonymous

September 18th, 2012 at 3:59 pm

‘HFT is operating without any structural, regulatory or cultural restraint’

What cultural restraint do you want?

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anonymous

September 18th, 2012 at 4:01 pm

‘I cant think of anything more un-intelligent then not one co-founder but all of them agreeing initially to name and register a company called FTD ($%^& The Dutch)’

stop being so pedantic and politically correct, it’s too much now, we are not politicians that we need to explain our every spoken and written word.

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anonymous

September 18th, 2012 at 4:02 pm

‘FHFT’

shouldn’t it be FTHFT?

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anonymous

September 18th, 2012 at 4:03 pm

‘it’s the clothing of choice of occupyfolk aka lazy squatterbums’

i hate sqatterbums, clear ‘em out.

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anonymous

September 21st, 2012 at 2:12 am

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anonymous

September 21st, 2012 at 2:42 am

@2:12

“The NYSE sent data through two proprietary feeds to paying customers before relaying the information to the so-called consolidated feed, which distributes trade and quote data to the public”

Occupy Wall Street has one point right. That aint free market capitalism!!!

HFT frontrunning and stealing again with a speed/time advantage.

“How does a retail or institutional investor not think the game is rigged when you see something like this,” Joseph Saluzzi, partner and co-head of equity trading at Themis Trading LLC”

Thats why there wont be any volume for HFT to make money going forward. Retail and insitutional will withdraw. Hence my earlier reference to HFT (without limits) being parasitic. It eventually kills the host. Primarily thats why for free market capitalism to work (true transparent pricediscovery to work also) it needs to work for everybody.

But wait there’s more:

http://www.ritholtz.com/blog/2012/09/nanex-disturbing-liquidity/

HFT create liquidity and volume – its a hologram!!!!!!
and can dissappear like that. Total distortion of the markets. No product no service just harvesting money (capital) being redirected to a few for no benefit to the economic system.

What should happen to these thiefs? Maybe China has the answer:

“China has executed executives in financial services for fraudulent activity:

Wang Liming, former accounting officer, China Construction Bank, Henan, with others stole 20 million yuan ($2.4 million in U.S. Currency) from the bank using fraudulent papers, executed.
Miao Ping, an accomplice in the same case, executed.
Wang Xiang, same bank in an unrelated case, also executed for taking 20 million yuan from the bank.
Liang Shihan, Bank of China, Zhuhai, executed for helping cheat his bank out of $10.3 million US.”

http://azizonomics.com/2012/04/12/should-corrupt-bankers-face-the-death-penalty/

“We in the West appear to have a problem; financial crimes ruin lives, but financial criminals either get away with a comparatively small fine (like Goldman did after they misled clients), a cushy prison cell, or sometimes even a taxpayer funded bailout.

Simply, they keep the upside of their behaviour, and pass the downside off to someone else (either a sucker investor, or a junior partner, or the taxpayer).”

Also one final thing:

“Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data, ability to repeat discredited memes, and lack of respect for scientific knowledge. Also, be sure to create straw men and argue against things I have neither said nor even implied. Any irrelevancies you can mention will also be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.”

Love that :)

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anonymous

September 21st, 2012 at 2:46 am

@2:12

“The NYSE sent data through two proprietary feeds to paying customers before relaying the information to the so-called consolidated feed, which distributes trade and quote data to the public”

Occupy Wall Street has one point right. That aint free market capitalism!!!

HFT frontrunning and stealing again with a speed/time advantage.

“How does a retail or institutional investor not think the game is rigged when you see something like this,” Joseph Saluzzi, partner and co-head of equity trading at Themis Trading LLC”

Thats why there wont be any volume for HFT to make money going forward. Retail and insitutional will withdraw. Hence my earlier reference to HFT (without limits) being parasitic. It eventually kills the host. Primarily thats why for free market capitalism to work (true transparent pricediscovery to work also) it needs to work for everybody.

But wait there’s more:

Source: ritholtz.com – nanex-disturbing-liquidity

HFT create liquidity and volume – its a hologram!!!!!!
and can dissappear like that. Total distortion of the markets. No product no service just harvesting money (capital) being redirected to a few for no benefit to the economic system.

What should happen to these thiefs? Maybe China has the answer:

“China has executed executives in financial services for fraudulent activity:

Wang Liming, former accounting officer, China Construction Bank, Henan, with others stole 20 million yuan ($2.4 million in U.S. Currency) from the bank using fraudulent papers, executed.
Miao Ping, an accomplice in the same case, executed.
Wang Xiang, same bank in an unrelated case, also executed for taking 20 million yuan from the bank.
Liang Shihan, Bank of China, Zhuhai, executed for helping cheat his bank out of $10.3 million US.”

Source: azizonomics.com – should-corrupt-bankers-face-the-death-penalty

“We in the West appear to have a problem; financial crimes ruin lives, but financial criminals either get away with a comparatively small fine (like Goldman did after they misled clients), a cushy prison cell, or sometimes even a taxpayer funded bailout.

Simply, they keep the upside of their behaviour, and pass the downside off to someone else (either a sucker investor, or a junior partner, or the taxpayer).”

Also one final thing:

“Please use the comments to demonstrate your own ignorance, unfamiliarity with empirical data, ability to repeat discredited memes, and lack of respect for scientific knowledge. Also, be sure to create straw men and argue against things I have neither said nor even implied. Any irrelevancies you can mention will also be appreciated. Lastly, kindly forgo all civility in your discourse . . . you are, after all, anonymous.”

Love that :)

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anonymous

September 21st, 2012 at 8:37 am

Sounds like you suffer from confirmation bias.

http://en.wikipedia.org/wiki/Confirmation_bias

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anonymous

September 21st, 2012 at 9:07 am

who was making money exploiting this NYSE feature?

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anonymous

September 21st, 2012 at 4:56 pm

IMC Chicago for sure

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anonymous

September 21st, 2012 at 10:28 pm

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anonymous

September 22nd, 2012 at 4:26 am

5 mil fine is chump change, next.

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anonymous

September 22nd, 2012 at 4:34 am

‘Occupy Wall Street has one point right’

what about the 99 points they got wrong? they are just lazy bums, clear ‘em out.

‘financial crimes ruin lives’

no, actually it’s financial greed ruin lives, nobody forced your grandma to go buy structured pdt from lehman brothers.

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anonymous

September 22nd, 2012 at 4:34 am

‘Sounds like you suffer from confirmation bias’

He sounds like those retarded politicians who understand issue some bit, and then start harping their own story on top of it to sell their agenda.

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anonymous

September 22nd, 2012 at 4:36 am

‘http://en.wiktionary.org/wiki/yes_man’

Brother, unless you are running your own firm, this little tid-bit will take you furthest than anything else.

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anonymous

September 22nd, 2012 at 7:05 pm

correct

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anonymous

September 22nd, 2012 at 11:22 pm

what’s all this yes man bullshit? just have a look at the IMC webpage to see that it is not true (http://www.imc.nl/Financial-markets/Culture):

Speak out

Another reason for our high retention rate is that IMC is regarded as a safe, friendly and challenging place to work.

And at IMC it’s not just safe to speak up, it’s compulsory! So, if someone has an interesting idea it will be acknowledged and acted on, whatever their role or experience.

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anonymous

September 23rd, 2012 at 1:37 am

Welcome to the world of euphemism, where they shout out the loudest about the greatness of the culture has the most rot in the reality.

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anonymous

September 23rd, 2012 at 1:38 am

‘Very rarely do people decide to leave IMC.’

yes because, http://www.amsterdamtrader.com/2010/03/the-art-of-firing-at-imc-and-all-options-2.html

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anonymous

September 23rd, 2012 at 1:39 am

lol

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anonymous

September 23rd, 2012 at 3:08 am

@8:37 Its debateable whether or not he fits the defintion of confirmation bias. We all have that to some degree; those who make money off HFT without thought or consequence to the economic system blindly believing they are doing the work of god; their religion being money. They naturally have a bias because they are making money off it.

And those who arent (even if they have the intelligence/know how choose not to) and are in favour of reducing its negative impact. But the author of those articles do have very diverse and experienced CVs.

i.e.

Barry Ritholtz

http://www.ritholtz.com/blog/barry-ritholtz-curriculum-vitae/

So even if he is of that definition you have to respect the viewpoint of the author given his background.

@8:37 Classic straw-man; attack the person not the content of the points raised.

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anonymous

September 23rd, 2012 at 3:46 am

Extract from article written by Barry Ritholtz (18 Jul 2012 – HFT Wagon Circling) in response to IMC’s Remco Lenterman.

“Remco makes these points. Again. Like the Energizer Bunny:

- 1) HFT was not the cause of the Flash Crash, and they actually helped that day by absorbing the initial sell orders. Even the US regulators said so!

- 2) HFT cancellations and revisions taking place faster than the NASDAQ opening cross algo (2 milliseconds) had nothing to do with Facebook’s botched opening.

- 3) HFT critics just fabricate opinions without facts to back them up.

- 4) HFT does not cause volatility.

- 5) HFT lowers transaction costs, reduces spreads, and increases liquidity. – ask Vanguard!

And so we must yet again call him out on his assertions.

- 1) HFT was responsible for the Flash Crash, and not a Midwestern mutual fund. That fund had a 9% of volume sell order in perhaps the most liquid instrument in financial markets that executed via limit orders placed above the market, and executed the vast majority after the market bottomed and was rebounding. Read the NANEX dissection of events of that day. Also read RTL’s very thorough and fact-supported guest chapters about the Flash Crash in our book, Broken Markets.

- 2) Again, while of course the NASDAQ exchange is to blame for not having its systems robust enough to handle its largest customers and their warp speed, Bob Griefeld himself points to the root cause of the Facebook fiasco being cancellation and revision traffic occurring at the microsecond level – i.e. HFT (we have yet to meet humans who can enter and revise orders in speeds measured in millionths of a second).

- 3) Critics of HFT, including us, have diligently sought out independent academic studies that refute the benefits of HFT. Again see the bibliography of such studies on our website.

- 4) HFT does cause volatility. See the CFTC’s own Kirilenko’s study here.

- 5) This unoriginal and tired argument has many flaws. Spreads have barely narrowed since 2006 pre Reg NMS, and they have especially not narrowed since the 2009 alleged HFT peak. The constant comparison of today’s spreads with the 25 cent spreads of 1995 is disingenuous. Also Vanguard’s fastest growing business, ETFs, depends on the “liquidity” provided in quotes markets by HFT Authorized Participants. Citing them as a poster boy for institutional investing is not as powerful as it might have been if Vanguard were the same firm it was under retired Jack Bogle, who criticizes HFT and the explosion in ETF proliferation often. And finally, regarding the “increased liquidity narrow spread” defense, please gander at Nanex’s analysis of message traffic between 2008 and 2012 – High Frequency Quote Spam. Erik Hunsader points out that while quote traffic (bids, offers, cancellations) has increased 13-fold, trade traffic remains unchanged!

Sounds to us like lobbying groups upset by the declining profit margins of their own business models are pulling out all the stops now. Thankfully their sound bites have muted effect, as investors around the world have become more educated about the HFT liquidity pi$$ing down on their shoes.” (Ritholtz, 2012)

http://www.ritholtz.com/blog/2012/07/hft-wagon-circling

The comments section raised some interesting points:

“Tax every bid, whether executed or not.” and

“tax on how fast you can execute trades. Speeds of over 1 second should not be taxed but at speeds better than 1 second the tax should be increasing the faster the trade.” (DeDude, 2012)

“100% tax on anything held shorter than a second, and going graduating downward to a/the defined CapGains rate when held for a year, then maybe down to 0% if held for, say 5 years. Incentivize long term investment.” (Dogfish, 2012)

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anonymous

September 23rd, 2012 at 7:45 am

That dude is referring to his own book to support arguments haha, being against current markets is also his source of income as you can hire him as speaker. He’s a college dropout.

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anonymous

September 23rd, 2012 at 10:34 am

‘Very rarely do people decide to leave IMC.’

also because they have a quite thought non-compete, they are almost forced to stay

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anonymous

September 23rd, 2012 at 11:07 am

‘And at IMC it’s not just safe to speak up, it’s compulsory! So, if someone has an interesting idea it will be acknowledged and acted on, whatever their role or experience.’

Did the HR come up with that horseshit to write on their website when they read all the complaints on this blog? Rather than solve the underlying problem in the organization write some bullshit on their external website and make it removed even more from the actual reality.

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anonymous

September 23rd, 2012 at 11:18 am

‘believing they are doing the work of god; their religion being money’

No they don’t actually believe that, they just say bs during interviews and put horse shit on the website, being smart people, HFT definitely knows they are stealing execution alpha from all the market participants combined rather than being a ‘source of pure liquidity’, liquidity is just a bloody PR.

‘They naturally have a bias because they are making money off it.’

Yes they do, everyone wants to protect their business, that’s why they have big lobby group to prevent transaction tax, similar to cigarette companies having lobbying group targeting Lance Armstrong to weaken his anti-smoking crusade.

‘But the author of those articles do have very diverse and experienced CVs.’

Lol, this one is a classic, you don’t judge a man’s viewpoint based on his CV, you judge the point on its own merit, not the speaker’s CV. What do you think about noble prize winnner Krugman’s idea of allowing US Govt’s share of GDP to rise upto 50% like some euro/scandi economies?

‘So even if he is of that definition you have to respect the viewpoint of the author given his background.’

No you don’t, you have to respect the viewpoint at its own merit, period, otherwise you are risking falling in the trap of ‘http://en.wiktionary.org/wiki/yes_man’

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anonymous

September 23rd, 2012 at 11:37 am

‘Bob Griefeld himself points to the root cause of the Facebook fiasco being cancellation and revision traffic occurring at the microsecond level’

Why did Nasdaq allow those in the opening to begin with if Nasdaq can’t handle it>?

‘Spreads have barely narrowed’

This one again is a classic trap, the absolute spreads have nothing to do with quality of liquidity, what needs to be looked at is how much financial market participants pay in total to get their trades executed, that’s where the money is being stolen, cent by cent, trade by trade. At absolute levels, the trade execution and bid-offer spread looks fantastic, but those billions in HFT revenue are in the end being funded off financial market participants execution alpha.

‘“Tax every bid, whether executed or not.” and
“tax on how fast you can execute trades.
“100% tax on anything held shorter than a second,’

That’s complicating the matters, just put a simple transaction tax and it’ll help mitigate both financial market gambling and HFT trading, otherwise all those complicated solutions have natural winners and losers making it harder to sell.

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anonymous

September 23rd, 2012 at 12:51 pm

‘because they have a quite thought non-compete’

how much is it, is that enforced even when http://www.amsterdamtrader.com/2010/03/the-art-of-firing-at-imc-and-all-options-2.html

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anonymous

September 23rd, 2012 at 12:52 pm

‘He’s a college dropout.’

didn’t gates, zuckerman and many others drop out because they found something better to do with their lives ?

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anonymous

September 23rd, 2012 at 2:43 pm

‘And at IMC it’s not just safe to speak up, it’s compulsory! So, if someone has an interesting idea it will be acknowledged and acted on, whatever their role or experience.’

Obviously HR lies. Several people have been fired within 24 hours since they “spoke up”, employees know that IMC is one of the unsafest places to work, with extremely high staff turnover. If you have the skills of a yes man it gets a bit safer. But what statements do you expect from a website which says that IMC still has an office in Hong Kong (http://www.imc.nl/Financial-markets/Offices/Hong-Kong).

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anonymous

September 23rd, 2012 at 2:57 pm

lol, atleast the career section doesn’t list any night trader vacancies at HK.

I expect HR to update the HK office page within 24 hours, given their past record of responding to criticism on this website ; )

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anonymous

September 23rd, 2012 at 2:58 pm

before i forget, to all IMC employees, it is very safe to speak up, but pls do so through this blog, it be heard much faster and without risk to your job, IMC has now built up very reliable response mechanism to criticism posted on this blog.

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anonymous

September 23rd, 2012 at 3:17 pm

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anonymous

September 23rd, 2012 at 6:10 pm

‘http://www.imc.nl/Financial-markets/Offices/Hong-Kong/’

Off to a flying start

should it not be: Off to a flying end?

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anonymous

September 23rd, 2012 at 6:45 pm

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anonymous

September 24th, 2012 at 12:47 am

What are you guys complaining about, it says on the page following, or was that updated today itself?

‘To better dedicate our business to the most attractive opportunities present in the Asia-Pacific region, our Sydney and Hong Kong offices have recently combined to form effectively one organisation.’

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anonymous

September 24th, 2012 at 12:50 am

‘http://www.amsterdamtrader.com/2010/02/youre-fired-imc-style-2.html’

You Euro types don’t understand the need to fire people and light up fire under the remaining staff, that’s why the whole continent is good under fire.

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anonymous

September 24th, 2012 at 6:45 am

> HFT definitely knows they are stealing execution alpha from all the market participants

So if your bid is above mine then you are stealing execution from me? Nice.

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anonymous

September 24th, 2012 at 8:34 am

‘or was that updated today itself?’

yes

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anonymous

September 24th, 2012 at 3:20 pm

latenight antics, hot HR chick bullying IMC website spin quant

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anonymous

September 24th, 2012 at 3:29 pm

‘You Euro types don’t understand the need to fire people and light up fire under the remaining staff, that’s why the whole continent is good under fire.’

right, shareholders come first, and the best strategy is to squeeze the employees by putting them in a state of terror. The only problem is that in the long run this will not help the shareholders. That’s the primary reason why shareholder should be nice with their employees, not for the sake of being nice, but to get a better competitive edge.

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anonymous

September 24th, 2012 at 10:07 pm

‘So if your bid is above mine then you are stealing execution from me? Nice’

okay, you are trying to confuse the issue, so let me put some numbers in a simple to understand example.

Your bid 100, my bid 101, seller comes and sells to me at 101, then i turn around and offer 102, after tired of waiting, you lift me at 102, i steal 1$ as execution alpha of two market participants who could have both otherwise got a better execution at 101.5, now compress this eg from dollars to pennies, minutes to milliseconds, from one trade to millions day in day out. Nice.

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anonymous

September 24th, 2012 at 10:10 pm

‘‘or was that updated today itself?’

yes’

Really HR updated the HK website after reading criticism on this site, wow, IMC guys, pour your heart out here, HR is finally listening.

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anonymous

September 24th, 2012 at 10:11 pm

‘hot HR chick’

is she really, or you haven’t had any in quite some time?

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anonymous

September 24th, 2012 at 10:19 pm

‘right, shareholders come first’

shareholders do come first at IMC, since they are the management themselves!

‘the best strategy is to squeeze the employees by putting them in a state of terror’

in time you would realise how far that strategy can indeed take you, look at rob and pot, learn something from them.

‘The only problem is that in the long run this will not help the shareholders’

ever read this – http://en.wikipedia.org/wiki/The_Fox_and_the_Grapes

‘That’s the primary reason why shareholder should be nice with their employees, not for the sake of being nice, but to get a better competitive edge’

stop dreaming and wake up my friend, the world would eat you alive if you don’t come out your idol world dream soon.

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anonymous

September 24th, 2012 at 10:56 pm

‘in time you would realise how far that strategy can indeed take you, look at rob and pot, learn something from them.’

you must be right, neither rob nor pot have a clue about high frequency trading or trading in general, but they became rich with it. How? By taking the money generated by others working for them.

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anonymous

September 24th, 2012 at 11:09 pm

lol, of course i am right. Look at the top rich people both in euro and americas, waltons et al. hiring cheap employees, selling cheap stuff to masses and making billions through walmart and aldi, that’s the power of capital and enterprise.

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anonymous

September 24th, 2012 at 11:12 pm

are you saying you become rich by squeezing others? Is that what IMC does with employees?

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anonymous

September 25th, 2012 at 12:37 am

http://www.youtube.com/watch?v=O2KeBfy34mQ&feature=player_embedded#!

Are HFT traders the same addicted to easy money without producing a product or service of value?

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anonymous

September 25th, 2012 at 12:39 am

Extract from article written by Barry Ritholtz (18 Jul 2012 – HFT Wagon Circling) in response to IMC’s Remco Lenterman.

“Remco makes these points. Again. Like the Energizer Bunny:

- 1) HFT was not the cause of the Flash Crash, and they actually helped that day by absorbing the initial sell orders. Even the US regulators said so!

- 2) HFT cancellations and revisions taking place faster than the NASDAQ opening cross algo (2 milliseconds) had nothing to do with Facebook’s botched opening.

- 3) HFT critics just fabricate opinions without facts to back them up.

- 4) HFT does not cause volatility.

- 5) HFT lowers transaction costs, reduces spreads, and increases liquidity. – ask Vanguard!

And so we must yet again call him out on his assertions.

- 1) HFT was responsible for the Flash Crash, and not a Midwestern mutual fund. That fund had a 9% of volume sell order in perhaps the most liquid instrument in financial markets that executed via limit orders placed above the market, and executed the vast majority after the market bottomed and was rebounding. Read the NANEX dissection of events of that day. Also read RTL’s very thorough and fact-supported guest chapters about the Flash Crash in our book, Broken Markets.

- 2) Again, while of course the NASDAQ exchange is to blame for not having its systems robust enough to handle its largest customers and their warp speed, Bob Griefeld himself points to the root cause of the Facebook fiasco being cancellation and revision traffic occurring at the microsecond level – i.e. HFT (we have yet to meet humans who can enter and revise orders in speeds measured in millionths of a second).

- 3) Critics of HFT, including us, have diligently sought out independent academic studies that refute the benefits of HFT. Again see the bibliography of such studies on our website.

- 4) HFT does cause volatility. See the CFTC’s own Kirilenko’s study here.

- 5) This unoriginal and tired argument has many flaws. Spreads have barely narrowed since 2006 pre Reg NMS, and they have especially not narrowed since the 2009 alleged HFT peak. The constant comparison of today’s spreads with the 25 cent spreads of 1995 is disingenuous. Also Vanguard’s fastest growing business, ETFs, depends on the “liquidity” provided in quotes markets by HFT Authorized Participants. Citing them as a poster boy for institutional investing is not as powerful as it might have been if Vanguard were the same firm it was under retired Jack Bogle, who criticizes HFT and the explosion in ETF proliferation often. And finally, regarding the “increased liquidity narrow spread” defense, please gander at Nanex’s analysis of message traffic between 2008 and 2012 – High Frequency Quote Spam. Erik Hunsader points out that while quote traffic (bids, offers, cancellations) has increased 13-fold, trade traffic remains unchanged!

Sounds to us like lobbying groups upset by the declining profit margins of their own business models are pulling out all the stops now. Thankfully their sound bites have muted effect, as investors around the world have become more educated about the HFT liquidity pi$$ing down on their shoes.” (Ritholtz, 2012)

http://www.ritholtz.com/blog/2012/07/hft-wagon-circling

That has convinced me right there. Points raised and rebutted.

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anonymous

September 25th, 2012 at 2:47 am

> i steal 1$ as execution alpha of two market participants who could have both otherwise got a better execution at 101.5

Look at it the other way. You bid 101 so someone sold at better price otherwise I would steal $1 from them if they hit my bid of 100. All in all I don’t see any wrongdoing in your example, if you still think there is then please explain.

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anonymous

September 25th, 2012 at 11:46 am

the guy who came up with this example has a big misunderstanding on the goals of trading and misses the point that both parties agree for a trade, nobody is forced to enter a position if the price is not good.

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anonymous

September 25th, 2012 at 4:21 pm

this example finally concludes that this guy does not have a clue on the fundamentals of orderbook dynamics and price time priority.
why didnt you bid 101 in the first place! why not 102? do you really think that you should kill all competition in the market so that your order can be filled at a better price? is that how you want the markets to work? If you really want to get filled then make a better price!
look at it this way. if i offered 102 and you could buy for 102, I did you a favor at the end. If the market would be wider and no HFT around, you might have to pay 103 or more to get your fill.
please stop flooding this forum with your garbage…

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anonymous

September 25th, 2012 at 5:52 pm

‘are you saying you become rich by squeezing others? Is that what IMC does with employees?’
yes

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anonymous

September 26th, 2012 at 7:58 am

‘http://www.youtube.com/watch?v=O2KeBfy34mQ&feature=player_embedded#!’

some brit loser taking drunken piss after getting smashed on too many stellas, the streets are full of it, the biatches are even worse, the whole island is full of piss take.

‘Are HFT traders the same addicted to easy money without producing a product or service of value?’

Not just HFT, everyone in general is addicted to easy money, who wants to bloody labour, whether your company produces necessary economy good is matter of coincidence

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anonymous

September 26th, 2012 at 8:07 am

‘Extract from article written by Barry Ritholtz (18 Jul 2012 – HFT Wagon Circling) in response to IMC’s Remco Lenterman.’

Didn’t you already post it here –

http://www.amsterdamtrader.com/2012/07/fresh-mail-in-tibra-optiver-case.html#comment-13711

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anonymous

September 26th, 2012 at 8:10 am

‘You bid 101 so someone sold at better price otherwise I would steal $1 from them if they hit my bid of 100. All in all I don’t see any wrongdoing in your example, if you still think there is then please explain.’

you missed the point about better execution for both parties at 101.5
the seller can offer 103 for 100 bid and then they can square off at 101.5, rather than both getting screwed by 0.5 in execution alpha and that 1$ landing in HFT pocket.

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anonymous

September 26th, 2012 at 8:12 am

‘the guy who came up with this example has a big misunderstanding on the goals of trading’

isn’t this a generic vague response, the person making a logical arguement has a ‘big misunderstanding’.

lol, come up with something more concrete, pls.

‘misses the point that both parties agree for a trade, nobody is forced to enter a position if the price is not good’

yes nobody is forced to smoke either, but we tax it prohibitively anyways, and like you guys, there is strong anti-lobby funded by profit making tobacco firms.

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anonymous

September 26th, 2012 at 8:31 am

‘this example finally concludes that this guy does not have a clue on the fundamentals of orderbook dynamics and price time priority’

here’s another example of a generic vague response, the person making a logical arguement ‘does not have a clue’.

lol, come up with something more concrete, pls.

‘why didnt you bid 101 in the first place!’

i was going to, with eventual execution at 101.5, but hft dimed me at 101 and got price time priority and the final execution, so yes I am not fast or smart enough like HFT, but the society doesn’t really need all the smartness and capital in diming for cents, the point.

‘do you really think that you should kill all competition in the market so that your order can be filled at a better price’

no, just pay 20bps transaction tax and you can do all your HFT you want all day long.

‘you might have to pay 103 or more to get your fill.’

that’s what you want market to believe, go away and both participants would get better execution at 101.5, cheers mate.

‘please stop flooding this forum with your garbage…’

pls stop shitting your pants, no politician is listening to this anyways, so you can go on scalping people and your lobby would make sure no transaction tax comes in place.

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Rob & Pot

September 26th, 2012 at 8:33 am

‘‘are you saying you become rich by squeezing others? Is that what IMC does with employees?’
yes’

Either quit or stop complaining.

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anonymous

September 26th, 2012 at 8:48 am

‘just pay 20bps transaction tax and you can do all your HFT you want all day long.’
talking about stealing execution alpha…

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anonymous

September 26th, 2012 at 9:12 am

‘the guy who came up with this example …’

‘ …this guy does not have a clue…’

how do you know it’s a guy?

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anonymous

September 26th, 2012 at 4:52 pm

‘talking about stealing execution alpha…’

no it’s talking about taxing financial market gambling.

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anonymous

September 26th, 2012 at 4:52 pm

‘how do you know it’s a guy?’

it’s a good starting assumption.

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anonymous

September 26th, 2012 at 8:13 pm

‘no it’s talking about taxing financial market gambling.’
call it what you will, but it results in all those people you’re trying to protect having to pay a lot more in transaction costs. Even for pension funds with relatively low turnover this will double their costs, directly eating into the returns of all those poor pensioners.

You have your mind set on some ‘solution’, without looking at other ways to solve the ‘problem’ that have way less collateral damage.
Many of the problems you mention would be solved by things like circuit breakers and bigger tick sizes. It looks like you’re not trying to solve a problem, but are just out to damage an industry that you obviously dislike.

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anonymous

September 26th, 2012 at 10:08 pm

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anonymous

September 26th, 2012 at 11:32 pm

In your example of the stolen 1$, you start with a market of 100@103 . And then you find one party that is willing to pay 102 and one party willing to sell for 101. If they had traded on the same moment, they found each other. However, problem 1, they don’t – so there is a time gap. For an unknown reason these parties do not enter a limit price of 101.50, but they could. They could also call a broker to find the other party, but they don’t. They are perfectly happy by trading at the market they see, right? Then a guy comes in and judges the probability good enough of selling at 102 after a potential buy at 101, so he takes the risk and puts the market to 101@102 . Oh that is a bloody shame! How dare he. He is stealing money. He is creating fake liquidity! But now think what is different compared to the initial 100@103 market. The parties would still trade on bid and offer, or do you think they suddenly use smart thinking? No, these parties seem to benefit by tightt

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anonymous

September 27th, 2012 at 3:06 am

> you missed the point about better execution for both parties at 101.5

Obviously, you don’t have any trading experience. So what are you doing here? Why are you trying to “educate” us?

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anonymous

September 27th, 2012 at 7:47 am

seriously stop polluting the forum with your half knowledge. you made yourself clear. we all know by now that you have never worked as a professional trader. and please do not try to prove your point by giving any more of your examples or posting some long links which no one is interested in reading here.
thanks in advance

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anonymous

September 27th, 2012 at 8:27 am

Dear long winded poster, no matter what you trade or assets you may hold, rest assured there will be someone smarter than you making money off you. You have demonstrated your skills. May be wise to quit while you are behind, you loser.

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anonymous

September 27th, 2012 at 10:38 am

@7:47 and 8:27 Looks like its more then 1 person.

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anonymous

September 28th, 2012 at 1:24 am

‘but it results in all those people you’re trying to protect having to pay a lot more in transaction costs’

that’s perfectly okay, smokers pay a lot of taxes too, they don’t complaint do they.

‘Even for pension funds with relatively low turnover this will double their costs, directly eating into the returns of all those poor pensioners’

what is your assumption of portfolio churn and How much do you think is the 20bps transaction tax cost going to cost total?

‘You have your mind set on some ‘solution’’

no solution, just tax unproductive part of economy.

‘without looking at other ways to solve the ‘problem’ that have way less collateral damage.’

like what?

‘Many of the problems you mention would be solved by things like circuit breakers and bigger tick sizes.’

how is circuit breaker and tick sizes mitigate unproductive financial gambling

‘It looks like you’re not trying to solve a problem, but are just out to damage an industry that you obviously dislike’

you are taking it personally, i am not.

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anonymous

September 28th, 2012 at 1:26 am

‘http://en.wikipedia.org/wiki/Dunning%E2%80%93Kruger_effect’

the funniest thing about that is you wouldn’t know which side you are on if you were not suffering from it.

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anonymous

September 28th, 2012 at 1:32 am

‘However, problem 1, they don’t – so there is a time gap’

yes, we can hereby refer to it as latency arbitrage.

‘so he takes the risk and puts the market to 101@102′

do HFT take risk, really?

‘Oh that is a bloody shame! How dare he. He is stealing money. He is creating fake liquidity!’

is that supposed to be from your theatrical class?

‘But now think what is different compared to the initial 100@103 market. The parties would still trade on bid and offer, or do you think they suddenly use smart thinking? No, these parties seem to benefit by tightt’

you can provide all your tight quoting, no problemo, 20bps transaction tax, that’s all, you can continue all the HFT trading you want, what’s the problem?

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anonymous

September 28th, 2012 at 1:33 am

‘Obviously, you don’t have any trading experience.’

Obviously.

‘So what are you doing here?’

Same as you.

‘Why are you trying to “educate” us’

What did you learn?

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anonymous

September 28th, 2012 at 1:35 am

‘we all know by now that you have never worked as a professional trader’

how many are you?

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anonymous

September 28th, 2012 at 2:43 am

> smokers pay a lot of taxes too, they don’t complaint do they.

It’s not what you are proposing. You want to tax every product on the shelves in your local store just to make tobacco price less attractive to smokers. Is it fair to the rest of people?

> do HFT take risk, really?

Again, you have no experience in this field whatsoever. Go back to your kitchen.

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anonymous

September 28th, 2012 at 11:53 am

@1:32am

Like your response’s. Rebuttle’s from pro-HFT typically involve abuse rather then debate. I think deep down most of them know its a very shallow achievment and its difficult to defend the indefensible (at least in its current form), hence the: ‘you have no idea what your talking about’ et al or the links to psycho-social and psychological descriptions.

To them everything must have a structure or be categorised. Some of the traders or the programers must sit on the aspergers spectrum somewhere hence their inability to see their broader impact.

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anonymous

September 28th, 2012 at 4:00 pm

“do HFT take risk, really?”

hahaha, this guy must be a troll. there is no other explanation…

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anonymous

September 28th, 2012 at 4:57 pm

@11:53am Many concepts in HFT, or trading in general for that matter, are really hard to grasp for most ppl. There’s a lot more to it than betting on up and down, as the public seems to do. But it can be one of those areas of knowledge like math/physics, that when you ‘get it’, you know you’re right. In the same way, you can quickly spot the guys who don’t get it, as they fumble with the concepts, and fail to make the inferences.

When someone like that then shows up carries on like an expert, it can get to be quite boring.

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anonymous

September 28th, 2012 at 11:11 pm

@11.53,

Explain us, Aspergers, please how it could have been. How it should have been. How your life looks like. What you do. How you contribute to society. Next to your activities on a nerdy Internetforum. Why your life is worthy.

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anonymous

September 29th, 2012 at 2:50 am

‘It’s not what you are proposing. You want to tax every product on the shelves in your local store just to make tobacco price less attractive to smokers. Is it fair to the rest of people?’

Retail in UK already pay 50bps stamp duty for stock purchases, is that fair to them?

‘Again, you have no experience in this field whatsoever’

how did you reach that conclusion?

‘Go back to your kitchen.’

why?

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anonymous

September 29th, 2012 at 2:53 am

‘I think deep down most of them know its a very shallow achievment’

yes, it’s called small dick syndrome

http://www.urbandictionary.com/define.php?term=small%20penis%20syndrome

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anonymous

September 29th, 2012 at 2:54 am

‘there is no other explanation’

of course not.

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anonymous

September 29th, 2012 at 2:57 am

‘Many concepts in HFT, or trading in general for that matter, are really hard to grasp for most ppl.’

yes, of course, it’s rocket science, bid and offer.

‘There’s a lot more to it than betting on up and down, as the public seems to do’

care to elaborate rather than talk generic bs?

‘they fumble with the concepts, and fail to make the inferences’

again, care to elaborate rather than talk generic bs?

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anonymous

September 29th, 2012 at 2:58 am

‘Why your life is worthy’

it’s not, again, you guys are taking it too personally.

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anonymous

September 29th, 2012 at 6:44 am

@2:57am, Sure thing buddy, make me a reasonable offer, and I’d be happy to tell you all about it.

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anonymous

September 29th, 2012 at 7:27 am

‘Retail in UK already pay 50bps stamp duty for stock purchases, is that fair to them?’

We agree it’s not fair that they pay more than professional parties. No one said otherwise.
I think it’s fair to abolish it. You on the other hand seem to conclude it’s fair to let everybody pay. That’s what we don’t agree on.

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anonymous

September 29th, 2012 at 10:16 am

guys, dont feed the trolls….

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anonymous

September 29th, 2012 at 2:33 pm

‘make me a reasonable offer, and I’d be happy to tell you all about it.’

lol, i offer you stuff your generic bs up your ahole and stop confusing the issue.

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anonymous

September 29th, 2012 at 2:35 pm

‘guys, dont feed the trolls’

lol, talk about one cut-throat HFT trying to collaborate with another cut-throat HFT for some blog’s comments, watch out my friend, he is going to fuck you from behind when you are not looking, haha.

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anonymous

September 29th, 2012 at 2:38 pm

‘I think it’s fair to abolish it’

Do you thing it would be fair to abolish the income tax as well?

‘You on the other hand seem to conclude it’s fair to let everybody pay’

‘EVERYBODY’ pay, what’s more fair than that?!

‘That’s what we don’t agree on.’

Just talk about yourself and don’t try to band your ideas with 2 other morons here on the site

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anonymous

September 29th, 2012 at 4:28 pm

ha. just tax everyone to fund something of ‘social value’ for the good of the people. you know, victims of oppression, people who have needs exceeding their ability.

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anonymous

September 29th, 2012 at 4:30 pm

yes, you sound republican all right, no to taxes, who is going to pay for the 15tn and growing debt?

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anonymous

September 29th, 2012 at 4:39 pm

@2:33pm And you wonder why ppl say u don’t know what you’re talking about .. pls keep on trading your retail account Einstein.

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anonymous

September 29th, 2012 at 8:20 pm

haha, you can try confusing the issue all you want, it’s all so complicated to understand isn’t it, only for great genius like you, lol.

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anonymous

September 29th, 2012 at 8:23 pm

‘keep on trading your retail account’

you think all the retail accounts get wiped out isn’t it, no one can actually make money outside of HFT?

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anonymous

September 29th, 2012 at 9:08 pm

well, problem solved then, retail accounts get wiped out anyways, 20bps transaction tax would help divert that capital in right direction and tax the obviously profit gainers from the financial markets, the HFT.

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anonymous

September 30th, 2012 at 11:03 am

@820pm Mate, looks like you’re the only confused one here.

Good luck with your anti whatever crusade.

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anonymous

September 30th, 2012 at 11:32 am

yes, its real confusing, sorting bids from the offers.

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anonymous

September 30th, 2012 at 1:08 pm

Knight fucked up, even on that.

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anonymous

October 1st, 2012 at 12:38 am

Here’s our most public HFT expert,

http://video.cnbc.com/gallery/?video=3000117077&play=1

Same old generic bs, ‘most people don’t understand very well how market really works’, no specifics offered as usual in the explaination.

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anonymous

October 1st, 2012 at 12:55 am

What’s going on with the Q jumping?

http://video.cnbc.com/gallery/?video=3000117329&play=1

What else?

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anonymous

October 1st, 2012 at 11:42 pm

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anonymous

October 2nd, 2012 at 12:39 am

http://www.businessspectator.com.au/bs.nsf/Article/Nathan-Tinkler-Atlassian-Young-Rich-list-pd20120928-YK5LP?OpenDocument&src=sph

Millionaire’s factory

Tibra Capital isn’t quite the household name that Macquarie Bank is, but the firm’s influence on the Young Rich list is impressive. Christian King, Kinsey Cotton, Glenn Williamson, Tim Berry and Danny Bhandari all take their place on the list this year, with fortunes ranging from $33 million to $20 million; all up, the Tibra five are worth $138 million. The firm specialises in high-frequency trading, a controversial area of the market that is being closely watched by regulators.

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anonymous

October 2nd, 2012 at 12:56 am

@12:38 am

Typical HFT trader right there. Respect to him though for being a public face. He misses the point of discussion. It is about the fairness of the market. When someone so ‘superior’ in intelligence says that it is complex what they mean is:

The everyday trader would not understand therefore please go about you day and let us continue to harvest money out of the system for our own benefit.

His ‘intelligence’ misses the point completely and he is not even intelligent enough to break down the complexity and explain it to the everyday trader who watches CNBC.

Dennis nails it – the market (and HFT ability to syphon money off the system) relies on the volume of market participation. If the perception is that the market is rigged therefore it is – case closed. You will have more participants leave the market.

I laughed when Manaj got Dennis’s name wrong – not so intelligent after all are we.

Again equating money in their bank account with intelligence but it appears the intelligence is one dimensional.

It is hard to defend the indefensible and the various predatory and disruptive trading strategies employed by HFT.

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anonymous

October 7th, 2012 at 1:15 am

Nanex: Investors Need to Realize The Machines Have Taken Over

“High Frequency Trading (HFT) deeply concerns Eric Hunsader, founder of Nanex. He worries that today’s investors, our regulators, — heck, even the HFT algorithms themselves — don’t fully understand the risks market prices face in the brave new era of bot-dominated trading.”

http://www.peakprosperity.com/podcast/79804/nanex-investors-realize-machines-taken-over

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anonymous

October 7th, 2012 at 1:48 am

“Eric Hunsader: If we get one bad, unsuspected news event I guarantee you it will be lights out very quick. One of the things these algorithms do is they make sure the input is good. And whenever the input isn’t quite good they back off. When I say back off I mean they back off in the blink of an eye. So it can go from good to very bad that quickly. And all it’s going to take is some unforeseen news event and they won’t be there. And then we’ll see what the liquidity is.”

http://www.peakprosperity.com/podcast/79804/nanex-investors-realize-machines-taken-over

What would that unexpected news event(s) be??

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anonymous

October 7th, 2012 at 1:56 am

So stupid, how about s&p downgrade of US? Markets imploded right? The guy makes no sense and doesn’t understand the fundamentals of which he rants against. Just makes a quick buck getting quoted on CNBC and posting on zero hedge to drive ad revenue.

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anonymous

October 7th, 2012 at 2:09 am

“Fine, mark it that way, put a little indicator on that quote saying so. So that if somebody else puts a quote in the system who really wants to buy or sell, well then we know that and then the market place can evaluate which quote has more value.”

Thats interesting – putting a value on respective quotes from a HFT that does not transact. But again a transaction tax could go further to include quotes as well???? Therby there would a cost to quote stuffing?

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anonymous

October 7th, 2012 at 5:32 am

@1:56

What are you on about? Which part does not make sense and why? What fundementals are you referring to? You cant convince anyone of anything with that comment.

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anonymous

October 7th, 2012 at 12:38 pm

‘The everyday trader would not understand therefore please go about you day’

The everyday trader would def understand broadly if not every specific, its not rocket science, bid and offer.

‘I laughed when Manaj got Dennis’s name wrong – not so intelligent after all are we’

you are confusing intelligence with short term ability to recall names, two completely different things.

‘It is hard to defend the indefensible and the various predatory and disruptive trading strategies employed by HFT.’

what’s so complicated about all this discussion, 20bps transaction tax is god enough to close all the loopholes down.

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anonymous

October 7th, 2012 at 12:47 pm

‘What would that unexpected news event(s) be??’

Nothing, after flash crash, we have circuit breakers, so nothing is going to go wrong, Knight fucking up didn’t cause much calamity.

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anonymous

October 7th, 2012 at 12:50 pm

‘putting a value on respective quotes from a HFT that does not transact’

LSE did put an upper limit on these quote refreshes, beyond which you had to start paying, it didn’t sound much of prohibition.

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anonymous

October 11th, 2012 at 3:59 pm

Keiser Report: Parasites Fat on Fraud

Posted on October 11, 2012 by stacyherbert

We discuss STEALGORITHMIC TRADING and the very civil lawsuits that are oh so amiable, benevolent, benign, clubby, cordial, courteous and cozy but available only for financial crooks. They also discuss the mysterious algorithm with an unknown motive that accounted for 4% of all quotes on the US stock markets last week. In the second half of the show, Max Keiser talks to Jon Najarian of OptionMonster.com about options trading, high frequency trading and naked short selling.

http://maxkeiser.com/2012/10/11/keiser-report-parasites-fat-fraud/

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anonymous

October 12th, 2012 at 2:41 am

here’s another angle
Can you believe it?

They sent my income tax return form back to me!

In response to question 4, “How many dependants are you supporting? “I replied –
2.1 million illegal immigrants,
1.1 million crack heads,
2.4 million unemployable people,
90 thousand people in over 85 prisons,
and 650 idiots in Parliament.

Apparently, this was NOT an acceptable answer.
Who the heck did I miss out on the list?

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anonymous

October 12th, 2012 at 2:42 am

what about Her Majesty & the whole Royal Family?

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anonymous

October 15th, 2012 at 4:08 pm

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anonymous

October 15th, 2012 at 4:15 pm

How the neo-liberals perverted Adam Smith

http://www.ianfraser.org/the-pathological-degeneration-of-adam-smith/

He would turn in his grave if he was around to see HFT!

“The version of capitalism that is prevalent in the world today is globalized, oligopolistic, crony and blind to its own crisis of legitimacy. It was given impetus by the likes of Milton Friedman and the ‘Chicago School’ in the 1960s and 1970s. They cherry-picked the ideas of the enlightenment thinker Adam Smith, and with the help of political followers such as Ronald Reagan, Margaret Thatcher and their successors spread their market fundamentalism throughout much of the rest of the world. Sadly however such people focused exclusively on Smith’s An Inquiry into the Nature and Causes of the Wealth of Nations (1776), ignoring his earlier work, The Theory of Moral Sentiments (1759).

As a consequence, a ‘winner takes all’ or ‘feral’ version of capitalism became the norm. The IMF became an instrument of Wall Street, workers in China and elsewhere were exploited, inequalities of wealth widened, and intellectual discourse was dumbed down.”

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anonymous

October 16th, 2012 at 2:25 am

Marx predicted that capitalism would sow its own seeds of demise, but socialism, really is that what you are advocating as replacement?

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anonymous

October 16th, 2012 at 5:18 am

@ 2:25
No. The current ‘version’ of capitalism is economic socialism – ie bailing out TBTF Banks, rebates to HFT to provide low quality liquidity etc. It’s clearly broken and not functioning as intended.

Adam Smith’s version of capitalism was the concentration of capital for productive endeavours and once individual’s had enough (what is enough??) he assumed they would contribute the excess money back to society.

All Western Democracies are mixed economies mate and have been for some time. That is there is a combination of capitalist and socialist principles. The difficulty is finding the best mix with the resources available in response to the current situation that advance’s the human experience.

Don’t silo and frame your response around Capitalism vs Socialism as 2 mutually exclusive options. Also it is a mistake to confuse an attachment with rules and regulations with socialism. Laws and institutions that encouraged fair competition and property rights were the key drivers between the West’s and for that matter capitalism in its various forms ascendency the last 500 years. The capitalist market has rules that investors understand otherwise there would be no participation.

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anonymous

October 16th, 2012 at 12:39 pm

modern finance has some aspects of socialism, in fact: banks get what they need from the state (i.e. bailout). That’s the same situation in communism: in principle people get what they need from the state

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anonymous

October 16th, 2012 at 2:54 pm

did anybody hear about Teza Technologies? Are they making money?

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anonymous

October 17th, 2012 at 4:51 am

https://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions

17-Oct-2012 9:30 Return of Subpoena District Registrar Wall Court

Room 18B Adjourned – Pre-Hearing

Order Type Decision Type

Subpoena Orders Uplift – leave to uplift documents on conditions
Subpoena Orders Inspect – leave to inspect and copy in the Registry
Directions Orders Directions – adjournment

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anonymous

October 17th, 2012 at 8:06 am

zzzzz…..

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anonymous

October 17th, 2012 at 12:56 pm

After France, Italy comes with a Financial Transaction Tax (0.05%) on both equities and derivatives, no exemption for MM

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anonymous

October 17th, 2012 at 1:25 pm

Coming to a country near you soon.

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anonymous

October 17th, 2012 at 1:55 pm

probably a European wide one sooner or later

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anonymous

October 18th, 2012 at 9:07 am

Aussie Stocks Suffer HFT Stop-Run Glitch At Open

http://www.zerohedge.com/news/2012-10-17/aussie-stocks-suffer-hft-stop-run-glitch-open

“We are now entirely used to the daily mini-flashes in US equities as algos lose their stabilizer and run one way or another. Recently we noted the same algos-gone-wild had hit the India stock exchange. Tonight, the HFT-bug has moved to Australia, where the open – which just happens to be option expiration – saws a number of major equities (including several of the banks – e.g. ANZ and CBA) get smashed instantaneously higher (by 5-7%) at the open – only to plummet back to normalcy soon after. The cuplrit – it would appear to us – is a market-clearing wipe-out of all resting stops above the multi-year highs that the stocks were at the edge of. Regulatoirs are ‘investigating’ though their first comment was “it is certainly nothing to do with the trading system.” As the Sydney Morning Herald notes a market participant: “Either that or an algorithm has gone haywire, a mistake has been made, or these trades are deliberate.’ Either way, do we have an orderly market?”

And this recently – only a matter of time.

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anonymous

October 19th, 2012 at 12:43 am

Get your facts correct

http://www.ft.com/cms/s/0/9869b272-0ecd-11e2-9343-00144feabdc0.html#axzz29hGP66fT

Indian shares suffer $60bn ‘flash crash’

By Neil Munshi in Mumbai and Philip Stafford in London

Almost $60bn was temporarily wiped from the stock market value of India’s biggest companies on Friday when a “flash crash” on the country’s stock exchange triggered a near 16 per cent slide in the main index.

India’s National Stock Exchange, Asia’s fourth largest bourse based in Mumbai, was forced to halt trading briefly after 59 erroneous orders from a basket of trades caused the so-called “Nifty” index to drop as much as 15.6 per cent within minutes.

The index recovered and the mistaken orders were cancelled. But the huge swing is the latest in a string of such moves on global exchanges and comes as regulators are stepping up their scrutiny of technology in trading and role in market stability. It follows a glitch this week on New York’s Nasdaq when shares in Kraft Foods soared as much as 28.9 per cent in the first minute of trading.

The NSE blamed human error rather than a computer algorithm for the plunge which led to a halt in trading for 15 minutes. The index eventually closed the day down 0.84 per cent at 5,738.70.

Orders worth Rs6.5bn ($125.7m) entered by Emkay Global, a Mumbai-based brokerage, on behalf of an institutional investor, caused the problem, said Divya Lahiri, spokeswoman for the NSE. Emkay said it would not comment.

However, India has no stock-specific circuit breakers, which could slow the rapid movement of individual shares. The NSE said index circuit breakers kicked in when the market fell 10 per cent, and the new trades were halted – but those trades that were already in the system were executed, causing the Nifty to fall even further.

Ravi Varanasi, head of business development at NSE, said large movements in just a couple of big stocks could move the index by more than 10 per cent. “When the market was closed we realised it was human error,” he said. “In this case, the market hadn’t really moved, and we decided to to reopen. We felt if we didn’t restart the market, it would have added to the panic. It was a mistake by only one member.”

However market participants warned that the episode would spark further debate over technology and market structure. The Securities and Exchange Board of India (Sebi), the country’s markets regulator, is examining its stance on algorithms used in trading while India is preparing for a third entrant into the market, the MCX Stock Exchange.

“Despite circuit breakers not being mandatory from a Sebi perspective, there is no reason why exchanges cannot look at this in their own right and follow what is deemed to be best market practice and reduce the risk of this flash crash type scenario, even though you cannot totally mitigate things outright,” said Hirander Misra, non-executive chairman of Forum Trading Solutions, a trading technology company. Mr Misra had been in talks to become head of a rival Indian exchange before pulling out last month.

Indian regulators allow local traders an order price limit of 20 per cent either side of the previous day’s closing price for stocks that are part of the Nifty and the Sensex.

“We will probably have to look at the 20 per cent level,” said Mr Varanasi. “We will examine the matter and take it up with regulators.”

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anonymous

October 19th, 2012 at 12:49 am

‘Options affected
The trades were large enough to affect the price of options traded on the S&P/ASX 200 Index – commonly referred to in the investment world as XJO Index Options. The index tracks shares that form the S&P/ASX 200. The XJO Index rose to 4606 on the back of the moves, before settling back to 4575.

A number of brokers noted that those options expire at the close of trade today. The settlement price for those options will be calculated using today’s 4606 opening price of the XJO index.’

This is nothing to do with HFT and everything to do with expiry, getting large print on long upside strikes is the oldest trick in the book, who is got the Hammer?

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anonymous

October 19th, 2012 at 1:00 am

How come Aussie exchange is using opening price to settle derivatives and not Eurostoxx style intra-day tick average?

http://www.eurexchange.com/exchange-en/products/idx/stx/blc/18954/

Final Settlement Price

The Final Settlement Price is established by Eurex on the Final Settlement Day of the contract and is based on the average of the respective STOXX® Index values calculated between 11:50 and 12:00 CET.

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anonymous

October 24th, 2012 at 1:22 am

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anonymous

October 31st, 2012 at 8:58 am

1. In Order 7 of the Court’s orders dated 11 October 2012:
(a) the date for access by the applicants (Optiver) be changed from 21 November 2012 to 28 November 2012; and
(b) the date for the respondents (Tibra) or the Berry companies to file and serve an interlocutory application seeking to restrict access be changed from 20 November 2012 to 27 November 2012.

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anonymous

October 31st, 2012 at 9:36 am

“In Order 7 of the Court’s orders dated 11 October 2012″

Who gives a fuck? Order 7 relates to a subpoena to Satill and Miller which is a fucking ACCOUNTING FIRM. What do you think the content of the documents would be? “Excuse me Mr Accountant, I just wanted to check what value we should put on our books for this stolen software.”

Why did you post this shit?

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anonymous

October 31st, 2012 at 10:01 am

to see if I got a response like the one you wrote

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anonymous

October 31st, 2012 at 1:19 pm

@9.36

Dear Danny,

I give a fuck. Some people like to keep up to date, and appreciate that someone is posting this. Obviously you prefer to bury all this, but with your comments you actually achieve the opposite.

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anonymous

October 31st, 2012 at 10:53 pm

I’m interested in the case too, but why post the most mundane and trivial shit without any explanation of what it is? How could it possibly relate to stolen software?

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anonymous

October 31st, 2012 at 11:10 pm

guys, I am new to the story. Who stole software from whom? It there any proof?

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anonymous

November 1st, 2012 at 12:54 am

if you are new to the story, you can give it a rest, most original actors have moved on, this reminds me of the story about observational learning where the remaining monkeys keep doing the rounds without knowing any purpose behind it.

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anonymous

November 1st, 2012 at 3:01 am

In a nutshell:

* Optiver are accusing Tibra of stealing their software
* No, there is no proof, and no “hard” evidence
* Experts on both sides have compared the source code
* The experts will decide the case

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anonymous

November 1st, 2012 at 1:06 pm

so the experts know both codes? Can they found a new trading company?

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anonymous

November 1st, 2012 at 3:52 pm

yeah, and trade like it’s 2007, against the old OI.

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anonymous

November 1st, 2012 at 4:18 pm

whats the old oi?

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anonymous

November 1st, 2012 at 9:03 pm

“so the experts know both codes? Can they found a new trading company?”

No, they would have had to sign non-disclosure agreements and confidentiality agreements. These are “independent” experts retained separately by each of Optiver and Tibra.

The case will be determined by which expert makes the better case. Since there are no examples of line-for-line copying of source code, Optiver will have a very hard time convincing the judge.

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anonymous

November 1st, 2012 at 9:47 pm

yes, there is no way for Optiver to win if the code is not copied line by line, in fact algorithms and ideas cannot be patented, so even if the logic is taken from Optiver nothing can be claimed if it was implemented from scratch. Tibra is going to win the case.

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anonymous

November 2nd, 2012 at 12:32 am

Danny must be ecstatic.

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anonymous

November 2nd, 2012 at 1:50 am

Optiver may have a last resort joker in their hand independant of the code

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anonymous

November 2nd, 2012 at 4:19 am

“Optiver may have a last resort joker in their hand independant of the code”

That doesn’t make much sense. Why would they withhold something that might change the outcome of the case? In civil cases like this, you put your best case forward – don’t hold back.

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anonymous

November 2nd, 2012 at 4:48 am

@4:19

I agree. Not only is it a good idea to put your best case forward, but it’s also in contravention of section 37N of the Federal Court Act to not do so. All parties must act consistently with the overarching purpose of the court, and that means (among other things) the timely and efficient disposal of all proceedings.

Rares J in particular will not take kindly to Optiver pulling any stunts. It would also smell of desperation.

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anonymous

November 3rd, 2012 at 2:26 pm

‘That doesn’t make much sense.’

of course, he doesn’t make sense .. he was being sarcastic, i hope!

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anonymous

November 4th, 2012 at 9:48 am

Lloyd Blankfein ‘making a market’ in gasoline using High Frequency Trading and server co-location

http://maxkeiser.com/2012/11/03/lloyd-blankfein-making-a-market-in-gasoline/

hahahaha

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anonymous

November 4th, 2012 at 1:15 pm

the guy is stealing gas out of some car, except for co-location, how is that anything to do with ‘making a market’

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anonymous

November 5th, 2012 at 3:24 pm

@4.18pm Open Interface . The native connection, behind which is hiding a spaghetti dinosaur.

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anonymous

November 5th, 2012 at 5:40 pm

yeah, and trade like it’s 2007, against the old Open Interface, say that again?

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anonymous

November 10th, 2012 at 1:05 am

http://www.youtube.com/watch?v=arKmquuJJY4&feature=player_embedded

I wonder if the boys will do one on HFT?

Pretty funny

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anonymous

November 10th, 2012 at 3:03 am

I thought it was pissweak. Lucky one of them didn’t get belted.

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anonymous

November 10th, 2012 at 5:02 am

yah, the guy who was given 2 pounds change back for his 2 pound coffee was holding his hand out, he’s probably some settlement operation analyst, not a bloody banker.

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anonymous

November 10th, 2012 at 9:09 am

@3:03

Yeah once Afghan and Iraqi veterans join the dots and figure out that their sacrifices was to ensure the survival of a corrupted banking system based on exponential growth that widens the gap between rich and poor they will be lucky if they are just belted.

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anonymous

November 10th, 2012 at 10:16 am

http://www.youtube.com/watch?v=WmEHcOc0Sys

Dont get this guy anymore upset

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anonymous

November 10th, 2012 at 4:30 pm

‘Yeah once Afghan and Iraqi veterans join the dots and figure out that their sacrifices was to ensure the survival of a corrupted banking system based on exponential growth that widens the gap between rich and poor they will be lucky if they are just belted.’

Man if you are talking about US, that place has got enough divisions and guns within the country already, why do you think obama got elected second time, he’s got like 70%+ share of younger(inexperienced), minorities, women and poor people. Romney’s 47% comment was actually true and factual.

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anonymous

November 10th, 2012 at 4:40 pm

‘http://www.youtube.com/watch?v=WmEHcOc0Sys

Dont get this guy anymore upset’

he wasn’t upset mindlessly, he just wanted to know why the tough cops beating up fellow unarmed US citizens.

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anonymous

November 11th, 2012 at 2:10 am

@4:30 and 4:40

Most servicemen and women (typically idealistically) enlist (are volunteers) to serve the best interests of their country and preserve their way of life. The American serviceman was there to protest with the OWS movement not just to protest against the NYPD and their treatment/constitutional right of protesters to protest.

As an aside.

http://www.naturalnews.com/033779_JP_Morgan_Occupy_Wall_Street.html

The broader point here is the structure of the economic and financial system and some of the practices whilst legal certainly do not serve a stable or sustainable system and not in the best interests of improving/preserving the way of life in western democracies.

There needs to be more ‘conscious capitalism’ approach.

Veterans that have made sacrifices (wounded, lost fellow soldiers and suffered PTSD etc) serving these perceived interests are increasingly becoming educated about these sources of instability and thus disenfranchised and it will be interesting going forward how this will (given that some are highly trained and motivated) manifest itself.

Some of the practices of the financial sector and HFT would do well to review how they do business perhaps in the interests of self preservation. Might be worth reflecting on this day Rememberance Day.

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anonymous

November 11th, 2012 at 12:01 pm

‘Most servicemen and women (typically idealistically) enlist (are volunteers) to serve the best interests of their country and preserve their way of life.’

I don’t fully buy this arguement of selfless patriotism, courage and valour yes sure, but like charity activities, is it really truly selfless, or to appease the inner moral within you?

‘There needs to be more ‘conscious capitalism’ approach.’

yes, the old debate between pure capitalism and socialism, where to draw the line.

‘http://www.naturalnews.com/033779_JP_Morgan_Occupy_Wall_Street.html’

JPM is a well run business and its expected off it to protect the interests of its general stakeholders, employees, clients and shareholders, it can’t just abandon its own huge fiduciary responsibility.

‘Veterans that have made sacrifices’

I decided to not to volunteer for Iraq and instead made sacrifices for my family, if i did well, who are you to tell me what to do with my wealth, i’ll share it with veterans when i am ready.

‘Some of the practices of the financial sector and HFT would do well to review how they do business perhaps in the interests of self preservation’

which business practices are you referring to?

‘Rememberance Day’

yes the great poppy day, every year in great britain, all the charade of poppy on your breast and your car, specially the politicians and the ceos, yes truly special day, for the war from 100 years ago, for the charade..

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anonymous

November 12th, 2012 at 2:40 am

‘I don’t fully buy this arguement of selfless patriotism, courage and valour yes sure, but like charity activities, is it really truly selfless, or to appease the inner moral within you?’

You may not have served or had a close family member serve. There is and this is reinforced by symbols, traditions, values, rank structure, discipline, military law, training and ethos. Serving an ideal higher than yourself. That is why they call it SERVICE. There will always be a mix of motivations (including satisfying a moral code of what is right and fair) within the spectrum of those who serve but a core driver will be that it is self-LESS. Considering yourself LESS than others but not ignoring your own needs. Some when the time comes are willing to make the ultimate sacrifice in the interests of their country and their mates around them.

I think that is why more and more soldiers are finding an affinity with movements like OWS because the very fabric and national integrity they are trying to preserve is being eroded by a political system unduly influenced by the finance sector (at least in the US) and destabilising, unsustainable financial and HFT practices.

Disenfranchisement follows because the very integrity of the house soldiers are trying to build is being torn down by greed and ego; SELFISH.

Charity is very different to putting your life, limbs and mental health at risk. Not to mention the opportunity costs and time commitment of choosing it as a career. Perhaps you are trying to define it in absolutes by your question of ‘truly selfless’ but by doing so are missing the point. In any measure the motivation behind service of any duration or quality is worthy of respect and appreciation.

‘yes, the old debate between pure capitalism and socialism, where to draw the line.’

I will take it as a comment but what is your position? Where do you draw the line? What do you think is the purpose of an economic/financial system is and what brand of capitalism should function within that? Currently. ALL Western democracies are mixed economies. Which countries do better, have a better way of life, are more sustainable/stable and why, by whatever metric you chose and what brand/mix of democracy/capitalism/socialism do they practice?

‘JPM is a well run business and its expected off it to protect the interests of its general stakeholders, employees, clients and shareholders, it can’t just abandon its own huge fiduciary responsibility.’

So JPM were being charitable to appease their inner moral code?

‘I decided to not to volunteer for Iraq and instead made sacrifices for my family, if i did well, who are you to tell me what to do with my wealth, i’ll share it with veterans when i am ready.’

I respect you for your decision. I trust they are well looked after and have financial security. If you did do well – congratulations. If you did really well say in the top 0.1% …….how much is enough? What comforts/way of life/safety and security do you enjoy at the expense of others sacrifice’s not just the military but others who serve the community and make it the pleasant place it is live eg police, nurses, fireman etc. How do you respect and honour that sacrifice? Is it proportional? Is it deserved? Is the world/your community a better place for your existence? Are you a net taker or giver? According to your own inner moral code did you EARN your money in a fair and moral way? Questions only an individual (in a really really obscenely well position) can reflect upon and answer themselves. Its best to look in the mirror when answering. Not telling you what to do with your money (if you did really really obscenely well) and none of my comments said that. That’s a personal decision.

‘which business practices are you referring to?’

- LIBOR Rate manipulation (Barclays)
- CDOs (Goldman Sachs ‘shitty deal’)
- Too Big To Fail and Bailouts (AIG)
- Stealing Segregated Funds (MF Global/PGF)
- London Whale and Dangers of Combining Retail/Proprietary Banking (JP Morgan)
- Fraud Debt Terms and Valuations (BankWest/CBA – To Big to Prosecute)
- Money Laundering Terrorists/Drug Cartels (HSBC)
- Knight Capital Blowing Up
- Frontrunning –
- Washtrades
- Wacking/Bullying
- Flash Crash (various)
- Bernie Madoff and Ponzi Schemes etc etc etc etc etc etc etc etc etc etc

‘yes the great poppy day, every year in great britain, all the charade of poppy on your breast and your car, specially the politicians and the ceos, yes truly special day, for the war from 100 years ago, for the charade..’

The Poppy is a tradition dating back to the Great War. However, Remembrance Day asks us to recognise and respect the sacrifices of all conflicts. Attend a Remembrance Day event and this will be self evident.

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anonymous

November 12th, 2012 at 7:22 am

‘Serving an ideal higher than yourself. That is why they call it SERVICE’

you can call it whatever you want, the fact of the matter is that it is a choice, and it has to be made with clear open eyes, not while wearing some patriotic shades.

‘it is self-LESS’

no it isn’t, is it really selfless to serve the inner patriotic moral residing within you while abandoning the responsibility to your family dependent on you and your prime years?

‘Some when the time comes are willing to make the ultimate sacrifice in the interests of their country and their mates around them.’

no, its conditioning of the mind from all the training and the adrenalin filling up your body with all the bullets flying around.

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anonymous

November 12th, 2012 at 7:25 am

‘I think that is why more and more soldiers are finding an affinity with movements like OWS because the very fabric and national integrity they are trying to preserve’

stop with all this patriotic ideal talk, they are not protecting any national safety, they are fighting bush’s ‘war on terror’ when iraq/hussein wasn’t even part of al qaeeda, in fact those two hated each other, what is war in iraq got to do with national integrity within US.

the veterans ain’t got jobs coming back in US and like any restless young unemployed people they are coming onto street, look what happened all across middle east with their youth being unemployed.

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anonymous

November 12th, 2012 at 7:31 am

‘eroded by a political system unduly influenced by the finance sector (at least in the US) and destabilising, unsustainable financial and HFT practices’

political system is influenced by everyone with power – tobacco, oil, environment polluting, green technology, agriculture lobby, you name it and there is some lobby trying to get their agenda through within govt, financials are no different, how are you characterizing it as ‘destabilising, unsustainable financial and HFT practices’

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anonymous

November 12th, 2012 at 7:52 am

‘Disenfranchisement follows because the very integrity of the house soldiers are trying to build’

again, soldier’s are fighting war of bush’s propaganda, their are not building some goddamm house.

‘putting your life, limbs and mental health at risk’

nobody put a gun to their head, why are they stupid enough to volunteer?

‘In any measure the motivation behind service of any duration or quality is worthy of respect and appreciation’

the service is worthy of respect, but the motivation behind the service is def stupid, why would somebody volunteer to fight bush’s war of propaganda is beyond stupidity.

‘Where do you draw the line?’

you can’t, the point, there is no line, at any time there be agenda on both sides and the line would keep shifting.

‘So JPM were being charitable to appease their inner moral code?’

no they are not appeasing some inner moral code, they are executing their fiduciary responsibility, go look up in dictionary if you don’t understand the difference between the two.

‘If you did really well say in the top 0.1% …….how much is enough? ‘

Buffett, Gates and many others are doing just that, you can argue if the waltons are being completely selfish about this.

‘Are you a net taker or giver?’

the world is ruthless, selfish place, people don’t act it on streets, but don’t forget the underneath dynamics of it.

‘According to your own inner moral code did you EARN your money in a fair and moral way?’

i earned my money through dedication, endless sacrifices and thorough hard work, now fuck off.

‘LIBOR Rate manipulation’

Barclays was the 16th in the list of contributors, their rate didn’t influence any resets

‘CDOs’

they were marketted to professional investors, buyers beware.

‘Too Big To Fail and Bailouts’

agree, but it had to be done at the time, to avoid this in future, capital levels are already being put in.

‘Stealing Segregated Funds’

people steal in normal world too, there would be thieves in all corners of life, couple of thieves don’t mean all financial participants are thieves.

‘London Whale’

what about him?

‘Dangers of Combining Retail/Proprietary Banking’

JPM has already got rid of prop trading.

‘Fraud Debt Terms and Valuations’

again, there is fraud in all walks of life, this example doesn’t mean all financials are fraud

‘Money Laundering Terrorists’

again, greed of few employees can’t be generalized.

‘Knight Capital Blowing Up’

Businesses fail in all walks of life, what are you crying about, you didn’t loose any money did you?

‘Frontrunning’

Too generic, specific pls.

‘Washtrades’

Too generic, specific pls.

‘Wacking/Bullying’

as always, few bad seeds can’t be generalized.

‘Flash Crash’

if you don’t like the market, you are free to walk away.

‘Bernie Madoff and Ponzi Schemes’

it was the greed of lazy investors, nobody forced them to give money to bernie, in fact there were so many people calling bernie a ponzi for years on, even then lazy and greedy investors didn’t do nothing.

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anonymous

November 12th, 2012 at 7:58 am

‘Remembrance Day asks us to recognise and respect the sacrifices of all conflicts’

so your point is?

‘Attend a Remembrance Day event and this will be self evident’

i don’t have time, the point, i am not wasting my time being idealist and fighting some stupid wars, i am working hard while i can, for my family’s healthy existence, i expect you to stop wasting your time being idealist and get on with your life working hard.

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anonymous

November 12th, 2012 at 8:15 am

So everyone who works hard in the financial sector to support their families should give any wealth they accumulate to people who are paid to be in the army? Huh?

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anonymous

November 12th, 2012 at 8:57 am

“i earned my money through dedication, endless sacrifices and thorough hard work, now fuck off.”

^^ This

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anonymous

November 12th, 2012 at 9:02 am

It appears from your tone you are unappreciative of those who serve. Correct me if I’m wrong. I acknowledged your point that the motivations behind individuals to enlist are diverse but on the whole there is a common belief that it is serving something higher then yourself. In that respect I would consider it self-less at least in Western Democracies where it is a volunteer force.

I think the point you are trying to make is that its not completely selfless if you are serving an inner patriotic moral residing within you and by extension from the tone of your comments is misdirected and clouded by blind patriotism. As I say acknowledged. But firstly I think your comments by trying to put a hierarchy on the one of many genuine motivations of those who serve devalues their contribution and suggests you have little or no respect for their service. I respect your choice and the loyalty you have to your family but suggesting that those who serve abandoning their family. That is to narrow a view as to the role and function of militaries around the world. Those who serve would consider abandonment to those they love the last of their intentions.

Firstly I assume you are a realist therefore acknowledge that conflict is a perpetual human condition and a world without militaries is an unrealistic utopia.

Secondly, War, Economic and Political International relationships are complex matters. There are lots of moving parts both seen and unseen with countries largely acting in their own self-interest. We can get stuck into a debate between ‘just’ and ‘unjust’ wars. The fact is whilst you are correct soldiers do make a choice in Western Democracies to enlist in the military they do not choose the conflicts they engage in. Once you enlist there isn’t an opt-in opt-out clause. Again another reason why it’s called SERVICE.

Consider a broader historical perspective of war, conflict and competition for resources not just the last decade. Consider WWI, WWII and the complex web of alliances or internal conflicts like the Russian Revolution or former Yugoslavia. It’s all part of the ‘Great Game’ trying to restore equilibrium to the world. Conflicts like Iraq and the specific politics around it will come and go. So now consider the counter factual. I would prefer to live in those countries with these institutions than without. Happy to pay for your plane flight anywhere in the world without men and women who serve – just send me the inside page of your passport (except Costa Rica that is the unusual exception – but they do have a police force). If you don’t I accept that you to prefer these institutions to exist because of the uncertainty in the world and thereby I think it is not too much to ask to not to devalue their contribution and perhaps pause for a minute next Remembrance Day.

I think you oversimplified and again devaluing those in combat their sacrifices by suggesting its an involuntary response of solely training and adrenaline. Training is a tool to manage adrenaline. Refer to my previous post. Thoughts drive Beliefs, Beliefs drive Actions and the willingness to train, to be competent on the battlefield to manage their fear and fatigue and to make tactical decisions. This motivation to join and the culture is reinforced by symbols, traditions, values, rank structure, discipline, military law, training and ethos.

Anyway we digress; the broader point is that there is a significant difference between the cultural and moral code operating within executives perpetrating those financial crimes and less then ethical and unstable practices above. These actions are counter-productive to the intentions of what military personal are trying to preserve and that is the integrity and way of life of those societies they reside. This difference once understood by veterans is going to piss a lot of them off. I made the point that it will be interesting in light of the sacrifices they made how that will manifest itself as the economy, employment etc stalls because of greed.

If this is difficult for you to accept just accept that other people are built different to you and often have genuine well thought and rational motivations to serve. But each to their own; your contribution to world and community might be bringing up well balanced kids that respect these institutions.

BTW:

I kindly responded to your point of which business practices I was referring to:
- LIBOR Rate manipulation (Barclays)
- CDOs (Goldman Sachs ‘shitty deal’)
- Too Big To Fail and Bailouts (AIG)
- Stealing Segregated Funds (MF Global/PGF)
- London Whale and Dangers of Combining Retail/Proprietary Banking (JP Morgan)
- Fraud Debt Terms and Valuations (BankWest/CBA – To Big to Prosecute)
- Money Laundering Terrorists/Drug Cartels (HSBC)
- Knight Capital Blowing Up
- Frontrunning –
- Washtrades
- Wacking/Bullying
- Flash Crash (various)
- Bernie Madoff and Ponzi Schemes etc etc etc etc etc etc etc etc etc etc

You were unresponsive on your position on:

- your desired brand/mix of capitalism/socialism
- the purpose of the economic/financial system

I trust you reflected on my rhetoricals.

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anonymous

November 12th, 2012 at 9:13 am

‘So everyone who works hard in the financial sector to support their families should give any wealth they accumulate to people who are paid to be in the army? Huh?’

Where was that ever said. Huh!!!?

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anonymous

November 12th, 2012 at 9:15 am

“i earned my money through dedication, endless sacrifices and thorough hard work, now fuck off.”

Congratulations. Those in the military didnt?

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anonymous

November 12th, 2012 at 9:24 am

@7:52

The previous poster asked for those practices. The reponder listed them. What do want a 5000 word essay? The point is these practices by a few involve billions if not trillions of dollars. Impact and reach is more severe then a few tradies doing some dodgy home repairs. The point is the frequency and therefore the impact is increasing. At what point does it break the system if not addressed?

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anonymous

November 12th, 2012 at 9:35 am

@9:24

And there the ones we know about. Its also probably a longer list.

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anonymous

November 12th, 2012 at 9:45 am

Corruption is part of life. The military is as much an example of moral failing as any other sector of society.

I’d rather be a trader than work for the institution responsible for Guantanamo Bay.

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anonymous

November 12th, 2012 at 9:50 am

@7:58

Ahhh thats the solution……..put your head in the sand.

http://www.zerohedge.com/news/2012-10-25/guest-post-dark-age-money

“The only rational defense is for people everywhere to denounce Friedman’s ideology in all public policy debates and academia, and to articulate the true principles of Adam Smith.

Ending the tyranny of Monetary Fascism begins with the wide spread recognition that it is the anti-theses of capitalism, free markets, individual self-determination and national sovereignty. However, it is truly unstoppable as long as the world continues to view it as the embodiment of Adam Smith’s “free market capitalism”.

Until then, the plunder will continue, lives will be discarded the angry mob will continues to grow. As we approach critical mass the fear is setting in. The remaining upper middle class and middle class fear losing what they have, while the recently disenfranchised desperately cling to their faith in Friedman’s ‘free markets’ in the hopes of redemption. The faithful double down on their own demise, while the ranks of the dispossessed swell. Every one of us has become a bit player in our own tragedy.

We are at the end of human evolution, we have become chattel. We are conditioned to the service of those with money, who only seek to enlarge their store of money, to beget money, for money’s sake and nothing more. The future is grim.

The predictable long term outcome is a steep decline into a very dark Monetary Feudalism.”

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anonymous

November 12th, 2012 at 10:09 am

I have it. All serviceman and women in the North America, Europe, Australia and New Zealand go on stike for a week tommorrow. Lets see how long we can trade before any of the other countries militaries get itchy and all hell brakes loose.

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anonymous

November 12th, 2012 at 10:34 am

None of this has any relevance to HFT.

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anonymous

November 12th, 2012 at 10:07 pm

‘So everyone who works hard in the financial sector to support their families should give any wealth they accumulate to people who are paid to be in the army? Huh?’

what?

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anonymous

November 12th, 2012 at 10:21 pm

‘It appears from your tone you are unappreciative of those who serve.’

i appreciate the service, and i also think their choice to volunteer to serve is too idealist and not practical enough in the current state of world

‘it is serving something higher then yourself’

is serving to your family not high enough?

‘executives perpetrating those financial crimes’

again, there are bad seeds in all parts of the economy, not just financials

‘military personal are trying to preserve’

again, military personal are fighting bush’s war of propaganda, nobody is attacking US that it needs to be preserved

‘once understood by veterans is going to piss a lot of them off’

oooo, i am scared now.

‘often have genuine well thought and rational motivations to serve’

surely its well thought and rational when you abandon your responsibility to your family and go fight bush’s war of propaganda

‘I kindly responded to your point of which business practices I was referring to:’

did you read my response to it? And?

‘your desired brand/mix of capitalism/socialism’

i don’t get into idealist positioning, if i see my country of residence of sux, i would either try to do something practical about it or decide its time to pack up.

‘the purpose of the economic/financial system’

read adam smith’s invisible hand and watch friedman’s ‘Free to Choose’, atleast try to know the existing the system first before going all critical on it

‘I trust you reflected on my rhetoricals’

i trust you stop being rhetorical going forward, there are enough politicians as it is.

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anonymous

November 12th, 2012 at 10:23 pm

‘Those in the military didnt?’

did they?

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anonymous

November 12th, 2012 at 10:27 pm

‘The point is these practices by a few involve billions if not trillions of dollars’

Pls talk in particular egs, no generic bs pls.

‘The point is the frequency and therefore the impact is increasing’

Again, specific eg pls

‘At what point does it break the system if not addressed?’

tobin tax, basel III, dodd-frank, volker rule, you are welcome to throw in your name in too, we can find some corner for you.

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anonymous

November 12th, 2012 at 10:34 pm

‘And there the ones we know about. Its also probably a longer list.’

of course there are those ones you don’t know about, even i don’t know about, nobody knows about, ‘coz it didn’t happen?

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anonymous

November 12th, 2012 at 10:45 pm

‘Ahhh thats the solution……..put your head in the sand.’

no the solution is to get an uzi and bury your head in it.

‘http://www.zerohedge.com/news/2012-10-25/guest-post-dark-age-money’

lol, nice, somebody else decided to quote friedman, nice coincidence, we can do that here too.

‘to articulate the true principles of Adam Smith’

and quoting adam smith too, really nice coincidence, i just quoted these two few minutes ago, i am glad we are on the same page for a debate.

‘Ending the tyranny of Monetary Fascism begins with the wide spread recognition that it is the anti-theses of capitalism, free markets, individual self-determination and national sovereignty.’

how so?

‘We are conditioned to the service of those with money’

that i agree, the taxes on capital income, tax breaks to rich, offshore havens, tax brackets, etc. all need updating.

‘Monetary Feudalism’

Can you describe this more in detail, and no marxist mumbo-jumbo pls. China and Russia are living egs of it already.

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anonymous

November 12th, 2012 at 10:48 pm

‘I have it. All serviceman and women in the North America, Europe, Australia and New Zealand go on stike for a week tommorrow. Lets see how long we can trade before any of the other countries militaries get itchy and all hell brakes loose.’

I have it, all financials in all the above economy go on a strike for a week tomorrow. Let’s see how long capital keeps getting invested in these economies, before they pack up and move to other countries.

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anonymous

November 12th, 2012 at 10:49 pm

‘None of this has any relevance to HFT’

yes it does, its called tobin tax.

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anonymous

November 13th, 2012 at 2:14 am

‘is serving to your family not high enough?’

Definitely…..if that is your purpose. Never said it wasnt. Each of us have a role to play. As long as its positive and you raise healthy well-rounded kids I havent got a problem with it.

“again, military personal are fighting bush’s war of propaganda, nobody is attacking US that it needs to be preserved”

- The GWOT is a contentious conflict. Those who serve do not opt-in or opt out of the conflicts they fight in. Its not a choice. Your comments suggest you question the military’s very existence because of a single conflict. You sound pragmatic and practical so surely you dont think it should be disbanded because of one conflict. But the miitary as an institution takes decades to build both with the hardware and the culture and traditions to make it an effective fighting force. You want it off-the-shelf ready. Whilst I personally dont agree on the GWOT consider that indirect objectives have been achieved such as interoperabilty, alliance maintainence (depending on whether you are NATO, AUS, NZ etc), Is the cost worth it? Debateable.

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anonymous

November 13th, 2012 at 3:08 am

‘As long as its positive and you raise healthy well-rounded kids I havent got a problem with it’

What has child-rearing got to do with this? What do you define as well-rounded???

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anonymous

November 13th, 2012 at 4:24 am

Where did anyone suggest getting rid of the military?

This guy is off his meds. He’s been trolling and spamming AM for months

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anonymous

November 13th, 2012 at 4:40 am

“Also in Australia, a small ASIC levy on all orders, not just executed orders, hits the economics of HFT where only about one order in eight is actually executed.”

http://www.theaustralian.com.au/business/wealth/why-hft-is-exploiting-an-unlevel-playing-field/story-e6frgac6-1226505646823

How big is the levy? Is it enough to discourage flash orders?

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anonymous

November 13th, 2012 at 6:40 am

” Is serving to your family not high enough?’

Definitely…..if that is your purpose ”

What is YOUR purpose? YOUR agenda?

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anonymous

November 13th, 2012 at 8:42 am

A better world with less greed and encourage others to contribute anyway they can so as to lighten the burden of those already making an extra effort for a better way of life both abroad and in their communities.

Anymore questions or is every sentence YOU write going to be followed by a question mark? Don’t fall into the trap of substituting a question for a well thought response or opinion. It’s often (not always) misdirection lazy and paints you as aggressive. That and arguing against things I did not say or even implied. Also go without civility in your discourse . . . we are, after all, anonymous.

But if you want to keep playing the man and not the ball that’s entirely up to you.
Anyway….to lighten the mood…………

http://www.colbertnation.com/the-colbert-report-videos/420540/october-24-2012/nonstop-libya-gate-questions

“Why didn’t the consulate have more security, why was the intelligence so slow to come out, and if you put a statement in the form of a question, is that journalism?” :)

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anonymous

November 13th, 2012 at 8:46 am

Back on topic……..

6 months old but some people asking the same old questions. This might refresh.

http://www.ritholtz.com/blog/2012/07/hft-wagon-circling/

“We would like to take the remainder of this note to address Remco Lenterman’s (managing director at Dutch HFT Firm IMC, and chairman of the European Principal Trader’s Association) editorial. Remco makes these points. Again. Like the Energizer Bunny:

- 1) HFT was not the cause of the Flash Crash, and they actually helped that day by absorbing the initial sell orders. Even the US regulators said so!

- 2) HFT cancellations and revisions taking place faster than the NASDAQ opening cross algo (2 milliseconds) had nothing to do with Facebook’s botched opening.

- 3) HFT critics just fabricate opinions without facts to back them up.

- 4) HFT does not cause volatility.

- 5) HFT lowers transaction costs, reduces spreads, and increases liquidity. – ask Vanguard!

And so we must yet again call him out on his assertions.

- 1) HFT was responsible for the Flash Crash, and not a Midwestern mutual fund. That fund had a 9% of volume sell order in perhaps the most liquid instrument in financial markets that executed via limit orders placed above the market, and executed the vast majority after the market bottomed and was rebounding. Read the NANEX dissection of events of that day. Also read RTL’s very thorough and fact-supported guest chapters about the Flash Crash in our book, Broken Markets.

- 2) Again, while of course the NASDAQ exchange is to blame for not having its systems robust enough to handle its largest customers and their warp speed, Bob Griefeld himself points to the root cause of the Facebook fiasco being cancellation and revision traffic occurring at the microsecond level – i.e. HFT (we have yet to meet humans who can enter and revise orders in speeds measured in millionths of a second).

- 3) Critics of HFT, including us, have diligently sought out independent academic studies that refute the benefits of HFT. Again see the bibliography of such studies on our website.

- 4) HFT does cause volatility. See the CFTC’s own Kirilenko’s study here.

- 5) This unoriginal and tired argument has many flaws. Spreads have barely narrowed since 2006 pre Reg NMS, and they have especially not narrowed since the 2009 alleged HFT peak. The constant comparison of today’s spreads with the 25 cent spreads of 1995 is disingenuous. Also Vanguard’s fastest growing business, ETFs, depends on the “liquidity” provided in quotes markets by HFT Authorized Participants. Citing them as a poster boy for institutional investing is not as powerful as it might have been if Vanguard were the same firm it was under retired Jack Bogle, who criticizes HFT and the explosion in ETF proliferation often. And finally, regarding the “increased liquidity narrow spread” defense, please gander at Nanex’s analysis of message traffic between 2008 and 2012 – High Frequency Quote Spam. Erik Hunsader points out that while quote traffic (bids, offers, cancellations) has increased 13-fold, trade traffic remains unchanged!

Sounds to us like lobbying groups upset by the declining profit margins of their own business models are pulling out all the stops now. Thankfully their sound bites have muted effect, as investors around the world have become more educated about the HFT liquidity pi$$ing down on their shoes.” (Ritholtz, 2012)

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anonymous

November 13th, 2012 at 11:56 pm

‘Your comments suggest you question the military’s very existence because of a single conflict. ‘

nobody is questioning the service, but if you are being shipped to Iraq, you should quit the service, plenty did.

‘You want it off-the-shelf ready’

of course, but deploying it in iraq? take the latest eg of swiss military, they have been wasting money and justifying their trouble readiness expenses to coming euro unrest>>!

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anonymous

November 13th, 2012 at 11:59 pm

‘What has child-rearing got to do with this? What do you define as well-rounded???’

child rearing is part of your responsibility to the next generation, well rounded is to do with making sure your off spring doesn’t turn out to be extremist?

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anonymous

November 14th, 2012 at 12:01 am

‘http://www.theaustralian.com.au/business/wealth/why-hft-is-exploiting-an-unlevel-playing-field/story-e6frgac6-1226505646823′

anybody got the access to the article ?

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anonymous

November 14th, 2012 at 12:02 am

‘What is YOUR purpose? YOUR agenda?’

he’s just got too much time and empty mind on his hand, he needs to get busy.

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anonymous

November 14th, 2012 at 12:09 am

‘to lighten the burden of those already making an extra effort’

man my burden is much more than you, trust.

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anonymous

November 14th, 2012 at 12:14 am

‘A better world with less greed and encourage others to contribute anyway they can’

i got marginal tax rate of 45%, so around half of my earnings ain’t enough contribution? this is on top of my company paying the corporate taxes and downstream me paying sales taxes, why don’t you fucking eat me alive while you are at it.

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anonymous

November 14th, 2012 at 12:15 am

fucking socialist hugging, hand out loving, obama voters lazzy arses.

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Ernst & Young

November 14th, 2012 at 1:09 am

Brad you’ve been trolling here for most of the year.

Get a life. Or at least, a job.

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anonymous

November 14th, 2012 at 1:32 am

https://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions

BY CONSENT THE COURT ORDERS THAT:

1. On or before 28 November 2012, each party file and serve any written outline of submissions in support of:
(a) any interlocutory application by that party; and/or
(b) any claim for privilege by that party in respect of any documents produced in response to a subpoena in these proceedings, for determination at the hearing on 7 December 2012.

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anonymous

November 14th, 2012 at 2:28 am

‘Brad’

‘Ernst & Young’

who are these people?

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anonymous

November 14th, 2012 at 2:29 am

‘https://www.comcourts.gov.au/file/Federal/P/NSD681/2009/actions’

zzzz

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anonymous

November 14th, 2012 at 11:12 am

Dear Brad,

Why do you keep posting this rubbish? It’s so mundane and no one here cares. If something substantial actually happen in the case I’m sure you’ll read about it here or in the media.

Yours truly.

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anonymous

November 15th, 2012 at 12:30 am

Dear Danny,

I care.

Yours truly.

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anonymous

November 15th, 2012 at 12:40 am

‘Brad’

who is this guy and why am i being confused with him?

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anonymous

November 15th, 2012 at 1:12 am

‘‘The point is these practices by a few involve billions if not trillions of dollars’’

‘Pls talk in particular egs, no generic bs pls.’

What do you want another essay – read the preceeding posts.

‘The point is the frequency and therefore the impact is increasing’

‘Again, specific eg pls’

What do you want another essay – read the preceeding posts.

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anonymous

November 15th, 2012 at 9:19 am

@12:40

because the person known as ‘anonymous’ is pretty popular and loves to play devils advocate with him/herself

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anonymous

November 16th, 2012 at 2:26 am

‘What do you want another essay’

No.

‘read the preceeding posts’

which ones?

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anonymous

November 16th, 2012 at 6:16 am

Dear Danny,

If its so mundane why do you care if its posted or not?

Yours truly

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anonymous

November 16th, 2012 at 9:56 am

“If its so mundane why do you care if its posted or not?”

Because you’re a fucking moron. If you can’t understand why it’s mundane, then maybe you really are suited to Vibrational Medicine and Flower Essences. Here’s an explanation anyway:

a) Interlocutory applications. See http://www.comlaw.gov.au/Details/F2011L01551/Html/Text#_Toc297989731

An interlocutory application is an application for the court to make particular orders. An interlocutory application can be made at any time during proceedings and the orders requested in that application can be anything the applicant desires. The excerpt you posted simply says that if you want to lodge an interlocutory application and have it heard on December 7th, then both the application and written submissions need to be lodged by November 28th to give both parties enough time to prepare.

b) Client legal privilege is a statute provided in both common law and the Evidence Act that protects communications between lawyers, accountants and their clients. Since the Optiver subpoenas requested material from both lawyers and accountants, it is obvious that Tibra is likely to claim privilege over some or all of the documents that are produced.

Is that mundane enough for you?

P.S. You might want to stop touting yourself as a selfless veteran given that you sued the army for everything you could get. They really shouldn’t have to compensate you just because you couldn’t crack civvy street.

P.P.S. Are you aware that the accreditation for your “degree” expires before you could possibly graduate? Maybe I should spend every waking minute stalking you around the internet and lobbying TEQSA to make sure they don’t renew it.

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anonymous

November 16th, 2012 at 10:54 am

“Because you’re a fucking moron.”

Someone hit a nerve.

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anonymous

November 18th, 2012 at 9:25 am

CDOs

“no, actually it’s financial greed ruin lives, nobody forced your grandma to go buy structured pdt from lehman brothers”

rating agencies credability also, they listed as AAA, trust?

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anonymous

November 18th, 2012 at 11:53 am

‘“Because you’re a fucking moron.”

Someone hit a nerve.’

or maybe the guy who keeps posting stupid non-event court updates is actually a fucking moron?

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anonymous

November 18th, 2012 at 11:55 am

‘rating agencies credability also, they listed as AAA, trust?’

rating agencies were being paid by the issuer, there is natural source of conflict, buyer beware.

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anonymous

November 18th, 2012 at 12:00 pm

‘Is that mundane enough for you?’

i think brad loves this legal shit, he probably gets off on it.

‘They really shouldn’t have to compensate you just because you couldn’t crack civvy street.’

what’s civvy street?

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anonymous

November 18th, 2012 at 1:21 pm

‘or maybe the guy who keeps posting stupid non-event court updates is actually a fucking moron?’

Relax, mate. What’s there to get so worked up about?

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anonymous

November 18th, 2012 at 1:34 pm

“what’s civvy street?”

http://lmgtfy.com/?q=civvy+street

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anonymous

November 18th, 2012 at 11:17 pm

‘They really shouldn’t have to compensate you just because you couldn’t crack civvy street.’

what does it mean by not being being able to crack civvy street?

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anonymous

November 18th, 2012 at 11:19 pm

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anonymous

November 18th, 2012 at 11:21 pm

‘Relax, mate. What’s there to get so worked up about?’

nothing really, just maybe the guy who keeps posting stupid non-event court updates is actually a fucking moron?

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anonymous

December 6th, 2012 at 2:11 pm

Optiver is full of douchebags anyway

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anonymous

December 6th, 2012 at 6:31 pm

you can say that for all the companies, welcome to capitalism, suck up and shut up.

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anonymous

December 18th, 2012 at 9:14 am

THE COURT ORDERS THAT:

The matter be fixed for hearing before Rares J commencing on 10 March 2014.

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anonymous

December 18th, 2012 at 12:15 pm

Let’s count down to Danny coming in telling you you’re a moron for posting court updates.

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anonymous

December 18th, 2012 at 12:52 pm

is that right, March 2014, 15 months out?

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anonymous

December 18th, 2012 at 7:54 pm

It’s not a typo. March 2014 is correct.

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anonymous

December 18th, 2012 at 7:56 pm

the question wasn’t about being a typo, it was about wtf do people care about something 15 months out?

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anonymous

December 18th, 2012 at 10:21 pm

I think that’s the point – you don’t have to worry your pretty little head over it for another 15 months.

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anonymous

December 19th, 2012 at 1:10 am

who was worrying in the first place, except for the moron who keeps posting dumb little updates

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anonymous

December 19th, 2012 at 7:46 am

And there he is! Predictable as ever. And with a limited vocab as ever.

Main Entry:
moron

Synonyms:

addlepate, blockhead, boob, dimwit, dingbat, dolt, dope, dork, dumbbell, dummy, dunce, fool, halfwit, idiot, ignoramus, imbecile, lamebrain, loony, loser, mental defective, nerd, simpleton

Notes:

an idiot is a stupid person with a mental age below three years, while a moron is a stupid person with a mental age of between seven to twelve years

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anonymous

December 19th, 2012 at 10:54 am

@7:46 like

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anonymous

December 19th, 2012 at 12:12 pm

By the way, what is Danny doing now? Is he still making money? What’s his business?

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anonymous

December 19th, 2012 at 1:10 pm

Danny is still a large shareholder in Tibra, so he isn’t doing anything in the market making industry. He has a cricket company on the side.

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anonymous

December 19th, 2012 at 2:31 pm

‘limited vocab’

And there you are! Predictable as ever. And with a huge penchant for being pedantic.

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anonymous

December 19th, 2012 at 2:31 pm

‘@7:46 like’

go down on him, you’ll like that too.

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anonymous

December 19th, 2012 at 2:33 pm

‘Danny is still a large shareholder in Tibra’

How come the board or the management not is not getting him to sell out shares to current working partners, don’t you need the active partners to hold most of the shares to align the incentives?

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anonymous

December 19th, 2012 at 2:34 pm

What’s the reputation of Danny as a trader? Is he good or has he been just lucky?

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anonymous

December 19th, 2012 at 4:38 pm

there is enough chatter that he wasn’t good in risk taking, probably got lucky on money management and trading principles.

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anonymous

December 19th, 2012 at 6:39 pm

Hard to say. Some say he got kicked out at Optiver because he was too good a trader making all the other traders lose their self-confidence. He might also have been kicked out for other reasons though.

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anonymous

December 19th, 2012 at 7:32 pm

what’s hard to say, either you are good, or okay or not good. you don’t have to say anything if you don’t know what was the case.

and what’s this about too good a trader making all the other traders lose their self-confidence. is it that he was good and that he was not letting the younger talent grow? that’s not surprising given people in those positions perceive, correctly or not, that there is only limited pie and that younger generation could end up displacing the older hands.

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anonymous

December 19th, 2012 at 9:10 pm

if he was so good, why isn’t he trading anymore?

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anonymous

December 19th, 2012 at 10:52 pm

No he was pretty average, but good at stealing ideas from smart youngsters. Doesn’t make yourself popular.

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anonymous

December 19th, 2012 at 11:05 pm

You dont survive in Optiver for 6 years without having no talent.

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anonymous

December 20th, 2012 at 1:26 am

haha, then you don’t know the difference between average and good in optiver, there are plenty who should have been on the way much earlier if the right mgmt was in place, IMC that ways is quite good, but they might play that hand little bit too aggressively for their own good.

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anonymous

December 20th, 2012 at 1:27 am

‘but good at stealing ideas from smart youngsters’

if he was good in learning, how come he got fired?

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anonymous

December 20th, 2012 at 8:50 am

who fired him?

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anonymous

December 20th, 2012 at 11:30 am

his boss

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anonymous

December 20th, 2012 at 12:53 pm

@7.32 Sarcasm is hard… Word is he sucked like the ladies in Stiletto (can’t confirm that, have never been to Stiletto myself).

As for the comment about not surviving at Optiver for six year with no talent: don’t forget that ten years ago Optiver Sydney was only a ten man operation or something. In those times they didn’t have the same standards as nowadays.

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anonymous

December 20th, 2012 at 1:47 pm

‘his boss’

why did he do that ?

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anonymous

December 20th, 2012 at 1:58 pm

‘Sarcasm is hard’

what are you talking about?

‘Word is he sucked like the ladies in Stiletto’

again, what are you talking about?

‘In those times they didn’t have the same standards as nowadays’

In those times, probably they didn’t have brand to pull in others, not enough size and more of team spirit given the small numbers

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anonymous

December 20th, 2012 at 2:18 pm

short gamma blow up in a truckload of mac bank

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anonymous

December 20th, 2012 at 3:13 pm

did this just happen?

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anonymous

December 20th, 2012 at 3:36 pm

‘why did he do that ?’

to get rid off him

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anonymous

December 20th, 2012 at 4:17 pm

why did he want to get rid off him?

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anonymous

December 20th, 2012 at 5:05 pm

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anonymous

December 20th, 2012 at 6:09 pm

Ik hou van de Nederlandse

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anonymous

December 20th, 2012 at 6:19 pm

' '
  • anonymous: glad to hear imcian not moaning and complaining, good for you guys [...]
  • anonymous: Jan Willem Kohne has a new job. Now Managing Director, Head of Europe at IMC financial markets & [...]
  • anonymous: define 'Jack' [...]
  • anonymous: https://twitter.com/paradimeshift/status/456997009686134785/photo/1 or latency HFT and the 'define' [...]
  • anonymous: define `ban’ [...]
  • anonymous: Jack, can we ban anyone using the word 'define'? [...]
  • anonymous: define 'serious troubles' [...]
  • anonymous: Jump and Tower might get in serious troubles, but definitely not IMC [...]
  • anonymous: no? [...]
  • anonymous: How about Geneva Trading Belvedere Trading 3Red CTC did they all receive a subpoena ? [...]

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